Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (Q2507719): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods |
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Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (English)
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5 October 2006
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Black--Scholes models
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Amerasian options
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Lagrange--Galerkin method
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duality algorithm
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