A reliable numerical method to price arithmetic Asian options (Q387463): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(7 intermediate revisions by 6 users not shown) | |||
Property / author | |||
Property / author: Walter Mudzimbabwe / rank | |||
Property / author | |||
Property / author: Walter Mudzimbabwe / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65M06 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6242024 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Asian options | |||
Property / zbMATH Keywords: Asian options / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
partial differential equations | |||
Property / zbMATH Keywords: partial differential equations / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
finite difference methods | |||
Property / zbMATH Keywords: finite difference methods / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Monte Carlo method | |||
Property / zbMATH Keywords: Monte Carlo method / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
stability analysis | |||
Property / zbMATH Keywords: stability analysis / rank | |||
Normal rank | |||
Property / describes a project that uses | |||
Property / describes a project that uses: cheney-kincaid / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.amc.2012.04.056 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1998159671 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3698196 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Small dimension PDE for discrete Asian options / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3798123 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3283176 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4433608 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: An Introduction to Financial Option Valuation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4484762 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4821330 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4315885 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic differential equations. An introduction with applications. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic calculus for finance. I: The binomial asset pricing model. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3696432 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 04:11, 7 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A reliable numerical method to price arithmetic Asian options |
scientific article |
Statements
A reliable numerical method to price arithmetic Asian options (English)
0 references
23 December 2013
0 references
Asian options
0 references
partial differential equations
0 references
finite difference methods
0 references
Monte Carlo method
0 references
stability analysis
0 references