Alternating-direction implicit upwind finite volume method for pricing Asian options

MaRDI QIDQ5453068zbMATH OpenFDO

Authors Peng Sun, Weidong Zhao

Publication date 4 April 2008

zbMATH Keywords

alternating-direction splittingAsian optionfinite volume methodmaximum principleupwind method

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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• scientific article; zbMATH DE number 2175061

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• TVD, WENO and blended BDF discretizations for Asian options

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