An accurate and stable numerical method for pricing Asian options
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Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites work
- A fourth order numerical method based on B-spline functions for pricing Asian options
- A hybrid finite difference scheme for pricing Asian options
- A reliable numerical method to price arithmetic Asian options
- An alternating-direction implicit difference scheme for pricing Asian options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Extrapolation of difference methods in option valuation
- Finite difference scheme with a moving mesh for pricing Asian options
- High order method for Black-Scholes PDE
- Highly accurate numerical solutions with repeated Richardson extrapolation for 2D Laplace equation
- scientific article; zbMATH DE number 2152342 (Why is no real title available?)
- Numerical pricing of options using high-order compact finite difference schemes
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- Sixth order compact scheme combined with multigrid method and extrapolation technique for 2D Poisson equation
- The value of an Asian option
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