Semi-Lagrange Time Integration for PDE Models of Asian Options (Q3618342)
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scientific article; zbMATH DE number 5538565
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| English | Semi-Lagrange Time Integration for PDE Models of Asian Options |
scientific article; zbMATH DE number 5538565 |
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Semi-Lagrange Time Integration for PDE Models of Asian Options (English)
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31 March 2009
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semi-Lagrange time integration
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Asian American options
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finite difference
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coordinate transformation
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0.8568406105041504
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0.7989132404327393
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0.7853463888168335
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