Asian options

Paper studies ultra-parabolic equations with three groups of spatial variables appearing in Asian options problems.  The class of these equations which satisfy some conditions was denoted by E$_{22}^{B}$.  This class is a generalization of the well-known class of degenerate parabolic Kolmogorov type equations E$_{22}$.  So called $L$-type fundamental solutions have been constructed for the equations from the class E$_{22}^{B}$ previously, and some their properties have been established as well.  The main feature of the