Small dimension PDE for discrete Asian options (Q951412)

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Small dimension PDE for discrete Asian options
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    Statements

    title
    Small dimension PDE for discrete Asian options (English)
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    author
    Eric Benhamou
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    Alexandre Duguet
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    publication date
    24 October 2008
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    zbMATH Keywords
    discrete Asian option
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    homogeneity
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    PDEs
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    Crank-Nicholson
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    non-proportional dividends
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    smile
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G60
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    91G80
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    60H35
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    65N06
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    zbMATH DE Number
    5356656
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    OpenAlex ID
    W3124219714
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