Collocation boundary element method for the pricing of geometric Asian options (Q1658798)

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Collocation boundary element method for the pricing of geometric Asian options
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    title
    Collocation boundary element method for the pricing of geometric Asian options (English)
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    publication date
    15 August 2018
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    Mathematics Subject Classification ID
    91G60
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    65M38
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    91G20
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    zbMATH DE Number
    6918073
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    zbMATH Keywords
    boundary element method
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    Fokker-Planck equation
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    geometric Asian options
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    barrier options
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    Greeks
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    author
    Alessandra Aimi
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    Chiara Guardasoni
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    OpenAlex ID
    W2770788803
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