DG method for the numerical pricing of two-asset European-style Asian options with fixed strike. (Q1745989)
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scientific article; zbMATH DE number 6861548
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| English | DG method for the numerical pricing of two-asset European-style Asian options with fixed strike. |
scientific article; zbMATH DE number 6861548 |
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DG method for the numerical pricing of two-asset European-style Asian options with fixed strike. (English)
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18 April 2018
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option pricing
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discontinuous Galerkin method
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Asian option
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basket option
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fixed strike
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0.931870698928833
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0.8667527437210083
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0.8222152590751648
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0.8024284243583679
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0.7980406880378723
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