A Numerical Approach to Price Path Dependent Asian Options

DOI10.1007/978-3-319-26520-9_6MaRDI QIDQ3304760zbMATH OpenOpenAlexFDO

Authors T. Chernogorova, Lubin G. Vulkov

Publication date 3 August 2020

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-26520-9_6

zbMATH Keywords

Asian optionsdegeneracyfinite volume methodultra-parabolic equation

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Two splitting methods for a fixed strike Asian option
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Cites work

• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
• Finite difference scheme with a moving mesh for pricing Asian options
• scientific article; zbMATH DE number 2175061 (Why is no real title available?)
• scientific article; zbMATH DE number 1565421 (Why is no real title available?)
• scientific article; zbMATH DE number 1748282 (Why is no real title available?)
• Pricing Asian options in financial markets using Mellin transforms
• TVD, WENO and blended BDF discretizations for Asian options
• Two splitting methods for a fixed strike Asian option
• Wellposedness of the boundary value formulation of a fixed strike Asian option

Cited in

(7)

• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• A fourth order numerical method based on B-spline functions for pricing Asian options
• Two splitting methods for a fixed strike Asian option
• New pricing formula for arithmetic Asian options using PDE approach
• CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
• Regularity of a degenerate parabolic equation appearing in Vecer's unified pricing of Asian options
• Valuing Asian options using the finite element method and duality techniques

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