Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (Q2507719): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.apnum.2006.03.026 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2045769731 / rank | |||
Normal rank | |||
Revision as of 01:55, 20 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
