A hybrid finite difference scheme for pricing Asian options (Q298703): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M06
@@ Property / Mathematics Subject Classification ID: 65M06 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / zbMATH DE Number @@
+6595811
@@ Property / zbMATH DE Number: 6595811 / rank @@
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@@ Property / zbMATH Keywords @@
+Asian option
@@ Property / zbMATH Keywords: Asian option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+partial differential equation
@@ Property / zbMATH Keywords: partial differential equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+central difference method
@@ Property / zbMATH Keywords: central difference method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+midpoint upwind scheme
@@ Property / zbMATH Keywords: midpoint upwind scheme / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Crank-Nicolson method
@@ Property / zbMATH Keywords: Crank-Nicolson method / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2014.12.007
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@@ Property / OpenAlex ID @@
+W2050276432
@@ Property / OpenAlex ID: W2050276432 / rank @@
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@@ Property / cites work @@
+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
+Normal rank
@@ Property / cites work @@
+Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
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@@ Property / cites work @@
+Prices and sensitivities of Asian options: A survey
+Normal rank
@@ Property / cites work @@
+An alternating-direction implicit difference scheme for pricing Asian options
+Normal rank
@@ Property / cites work @@
+Finite difference scheme with a moving mesh for pricing Asian options
+Normal rank
@@ Property / cites work @@
+High-order numerical methods for one-dimensional parabolic singularly perturbed problems with regular layers
+Normal rank
@@ Property / cites work @@
+A different approach for pricing Asian options
@@ Property / cites work: A different approach for pricing Asian options / rank @@
+Normal rank
@@ Property / cites work @@
+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
+Normal rank
@@ Property / cites work @@
+Q3021688
@@ Property / cites work: Q3021688 / rank @@
+Normal rank
@@ Property / cites work @@
+A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
+Normal rank
@@ Property / cites work @@
+Sufficient conditions for uniform convergence on layer-adapted grids
+Normal rank
@@ Property / cites work @@
+A reliable numerical method to price arithmetic Asian options
+Normal rank
@@ Property / cites work @@
+A Stability Result for Sectorial Operators in Banach Bpaces
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+The midpoint upwind scheme
@@ Property / cites work: The midpoint upwind scheme / rank @@
+Normal rank
@@ Property / cites work @@
+Some mathematical results in the pricing of American options
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@@ links / mardi / name / links / mardi / name @@
+Publication:298703