Valuing Asian options using the finite element method and duality techniques (Q952087)
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scientific article; zbMATH DE number 5362091
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| English | Valuing Asian options using the finite element method and duality techniques |
scientific article; zbMATH DE number 5362091 |
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Valuing Asian options using the finite element method and duality techniques (English)
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6 November 2008
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finite element method
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Galerkin
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duality
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A posteriori error estimation
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mesh refinement
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adaptivity
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option pricing
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Brownian motion
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Asian option
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average option
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0.92462754
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0.9236506
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0.90305036
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0.89860463
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0.8980123
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0.8979985
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0.89618844
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0.8959101
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