Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (Q2507719): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 08:23, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods |
scientific article |
Statements
Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (English)
0 references
5 October 2006
0 references
Black--Scholes models
0 references
Amerasian options
0 references
Lagrange--Galerkin method
0 references
duality algorithm
0 references
