Collocation boundary element method for the pricing of geometric Asian options

DOI10.1016/j.enganabound.2017.10.007zbMath1403.91370MaRDI QIDQ1658798

Alessandra Aimi, Chiara Guardasoni

Publication date: 15 August 2018

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2017.10.007

zbMATH Keywords

Fokker-Planck equation; boundary element method; Greeks; barrier options; geometric Asian options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65M38: Boundary element methods for initial value and initial-boundary value problems involving PDEs