An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
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Publication:534248
DOI10.1016/j.cam.2011.02.024zbMath1215.60031MaRDI QIDQ534248
Publication date: 17 May 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.02.024
optimal stopping; discontinuous Galerkin method; extrapolation; Asian options; ultraparabolic equations
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs
35K70: Ultraparabolic equations, pseudoparabolic equations, etc.
Related Items
Optimal control of ultradiffusion processes with application to mathematical finance, DG method for pricing European options under Merton jump-diffusion model., A Numerical Approach to Price Path Dependent Asian Options
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Cites Work
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