An alternating-direction implicit difference scheme for pricing Asian options

DOI10.1155/2013/605943MaRDI QIDQ364443zbMATHOpenAlexDBLPWikidataFDO

Authors Zhongdi Cen, Anbo Le, Aimin Xu

Publication date 9 September 2013

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2013/605943

zbMATH Keywords

numerical resultsnumerical methoddifference schemeAsian optionsalternating-direction technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 2175061 (Why is no real title available?)
• scientific article; zbMATH DE number 996056 (Why is no real title available?)
• scientific article; zbMATH DE number 2152342 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• A reliable numerical method to price arithmetic Asian options
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• A robust finite difference scheme for pricing American put options with singularity-separating method
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Far field boundary conditions for Black-Scholes equations
• Finite difference scheme with a moving mesh for pricing Asian options
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Penalty methods for American options with stochastic volatility
• Wellposedness of the boundary value formulation of a fixed strike Asian option

Cited in

(18)

• DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike.
• scientific article; zbMATH DE number 6380317 (Why is no real title available?)
• Finite difference scheme with a moving mesh for pricing Asian options
• Convergence rates of moving mesh Rannacher methods for PDEs of Asian options pricing
• Alternating-direction implicit upwind finite volume method for pricing Asian options
• Two efficient parameterized boundaries for Večeř's Asian option pricing PDE
• A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
• A reliable numerical method to price arithmetic Asian options
• Comparative study of numerical algorithms for the arithmetic Asian option
• Modified B-spline collocation approach for pricing American style Asian options
• A numerical study of Asian option with radial basis functions based finite differences method
• DG method for the numerical pricing of two-asset European-style Asian options with fixed strike.
• TVD, WENO and blended BDF discretizations for Asian options
• scientific article; zbMATH DE number 1748282 (Why is no real title available?)
• Evaluation of double average asian options by the legendre spectral method
• A hybrid finite difference scheme for pricing Asian options
• A numerical study of Asian option with high-order compact finite difference scheme
• Semi-Lagrange Time Integration for PDE Models of Asian Options

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