A numerical study of Asian option with high-order compact finite difference scheme

DOI10.1007/S12190-017-1115-2MaRDI QIDQ721576zbMATHOpenAlexFDO

Authors Kuldip Singh Patel, Mani Mehra

Publication date 19 July 2018

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12190-017-1115-2

zbMATH Keywords

option pricingcompact finite difference schemeAsian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Recommendations

• High-order compact finite difference scheme for pricing Asian option with moving boundary condition
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• A hybrid finite difference scheme for pricing Asian options
• An alternating-direction implicit difference scheme for pricing Asian options
• Financial Applications of Symbolically Generated Compact Finite Difference Formulae

Cites work

• scientific article; zbMATH DE number 3875781 (Why is no real title available?)
• scientific article; zbMATH DE number 52120 (Why is no real title available?)
• scientific article; zbMATH DE number 503063 (Why is no real title available?)
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• A class of higher order compact schemes for the unsteady two-dimensional convection-diffusion equation with variable convection coefficients
• A convergent quadratic-time lattice algorithm for pricing European-style Asian options
• A fast high-order finite difference algorithm for pricing American options
• A hermitian finite difference method for the solution of parabolic equations
• A higher-order compact finite difference algorithm for solving the incompressible Navier-Stokes equations
• A hybrid finite difference scheme for pricing Asian options
• A numerical study of Asian option with radial basis functions based finite differences method
• A theoretical introduction to numerical analysis
• Accurate pricing formulas for Asian options
• Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
• Approximations for Asian options in local volatility models
• Compact finite difference method for American option pricing
• Compact finite difference schemes with spectral-like resolution
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Exotic option pricing and advanced Lévy models.
• High order difference schemes for unsteady one-dimensional diffusion- convection problems
• Highly accurate compact implicit methods and boundary conditions
• High‐order compact scheme for the steady stream‐function vorticity equations
• On the Valuation of Asian Options by Variational Methods
• Penalty methods for American options with stochastic volatility
• Pricing discretely monitored Asian options by maturity randomization
• Stability of Time-Stepping Methods for Abstract Time-Dependent Parabolic Problems
• Survey of the stability of linear finite difference equations
• The pricing of options and corporate liabilities
• The value of an Asian option

Cited in

(14)

• High-order compact finite difference scheme for pricing Asian option with moving boundary condition
• Wavelet-optimized compact finite difference method for convection-diffusion equations
• Finite difference scheme with a moving mesh for pricing Asian options
• High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep
• Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
• A new development of sixth order accurate compact scheme for the Helmholtz equation
• Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients
• An efficient hybrid method based on cubic B-spline and fourth-order compact finite difference for solving nonlinear advection-diffusion-reaction equations
• TVD, WENO and blended BDF discretizations for Asian options
• Numerical methods for time-fractional convection-diffusion problems with high-order accuracy
• A hybrid finite difference scheme for pricing Asian options
• Efficient Spectral-Galerkin Method for Pricing Asian Options
• A novel hybrid method based cubic B-spline for one-dimensional Stefan problem with moving PCM, size-dependent thermal conductivity and periodic boundary condition
• The discontinuous Galerkin method for discretely observed Asian options

This page was built for publication: A numerical study of Asian option with high-order compact finite difference scheme

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q721576)