An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (Q534248): Difference between revisions
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Property / Mathematics Subject Classification ID: 35K70 / rank | |||
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Property / Mathematics Subject Classification ID: 65M60 / rank | |||
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Property / zbMATH DE Number: 5895487 / rank | |||
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optimal stopping | |||
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ultraparabolic equations | |||
Property / zbMATH Keywords: ultraparabolic equations / rank | |||
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discontinuous Galerkin method | |||
Property / zbMATH Keywords: discontinuous Galerkin method / rank | |||
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extrapolation | |||
Property / zbMATH Keywords: extrapolation / rank | |||
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Asian options | |||
Property / zbMATH Keywords: Asian options / rank | |||
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Revision as of 09:37, 1 July 2023
scientific article
Language | Label | Description | Also known as |
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English | An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options |
scientific article |
Statements
An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (English)
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17 May 2011
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optimal stopping
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ultraparabolic equations
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discontinuous Galerkin method
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extrapolation
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Asian options
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