Alternating-direction implicit upwind finite volume method for pricing Asian options (Q5453068)
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scientific article; zbMATH DE number 5259918
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| English | Alternating-direction implicit upwind finite volume method for pricing Asian options |
scientific article; zbMATH DE number 5259918 |
Statements
4 April 2008
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Asian option
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alternating-direction splitting
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finite volume method
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maximum principle
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upwind method
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0.8911367654800415
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0.8377090692520142
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0.8165571689605713
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0.8165256381034851
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