A hybrid finite difference scheme for pricing Asian options (Q298703): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 65M06 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6595811 / rank | |||
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| Property / zbMATH Keywords | |||
Asian option | |||
| Property / zbMATH Keywords: Asian option / rank | |||
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partial differential equation | |||
| Property / zbMATH Keywords: partial differential equation / rank | |||
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central difference method | |||
| Property / zbMATH Keywords: central difference method / rank | |||
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midpoint upwind scheme | |||
| Property / zbMATH Keywords: midpoint upwind scheme / rank | |||
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Crank-Nicolson method | |||
| Property / zbMATH Keywords: Crank-Nicolson method / rank | |||
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Revision as of 21:25, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A hybrid finite difference scheme for pricing Asian options |
scientific article |
Statements
A hybrid finite difference scheme for pricing Asian options (English)
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21 June 2016
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Asian option
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partial differential equation
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central difference method
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midpoint upwind scheme
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Crank-Nicolson method
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