Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching (Q2006416)
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scientific article; zbMATH DE number 7258576
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| English | Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching |
scientific article; zbMATH DE number 7258576 |
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Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching (English)
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9 October 2020
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Asian option pricing
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regime switching
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lattice Boltzmann methods
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convergence rates and stability
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Chapman-Enskog multi-scale expansion
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0.8584829568862915
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0.7768850326538086
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0.7735005021095276
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0.7552365064620972
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0.7486161589622498
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