DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike. (Q2360417)
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scientific article; zbMATH DE number 6738487
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| English | DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike. |
scientific article; zbMATH DE number 6738487 |
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DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike. (English)
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3 July 2017
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option pricing
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discontinuous Galerkin method
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path-dependent option
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basket option
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floating strike
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0.931870698928833
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0.8844049572944641
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0.8331586718559265
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0.8201348781585693
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0.8176587224006653
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