On the Valuation of Asian Options by Variational Methods

DOI10.1137/S1064827501388169MaRDI QIDQ4442105zbMATH OpenFDO

Authors Michael D. Marcozzi

Publication date 20 January 2004

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S1064827501388169

zbMATH Keywords

Asian optionsGalerkin approximationoptimal stoppingultraparabolic operators

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Stopping times; optimal stopping problems; gambling theory (60G40)

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• Extrapolation discontinuous Galerkin method for ultraparabolic equations
• The pricing of Asian options in uncertain volatility model
• Critical value-based Asian option pricing model for uncertain financial markets
• Uncertainty quantification and Heston model
• Probabilistic interpretation of solutions of linear ultraparabolic equations
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition
• Bounds for in-progress floating-strike Asian options using symmetry
• On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• A meshless method for Asian style options pricing under the Merton jump-diffusion model
• Two splitting methods for a fixed strike Asian option
• AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
• A Numerical Approach to Price Path Dependent Asian Options
• Asset liquidity and the valuation of derivative securities
• The value of an Asian option
• Optimal control of ultradiffusion processes with application to mathematical finance
• scientific article; zbMATH DE number 7448758 (Why is no real title available?)
• Uniqueness result for an age-dependent reaction-diffusion problem
• On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation
• Asian option pricing with orthogonal polynomials
• An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
• The obstacle problem for a class of hypoelliptic ultraparabolic equations
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• TVD, WENO and blended BDF discretizations for Asian options
• A numerical study of Asian option with high-order compact finite difference scheme
• Free boundary and optimal stopping problems for American Asian options
• Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
• Valuing Asian options using the finite element method and duality techniques

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