Modified B-spline collocation approach for pricing American style Asian options
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Spline approximation (41A15) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- An alternating-direction implicit difference scheme for pricing Asian options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
- Convergence Rates of Parabolic Difference Schemes for Non-Smooth Data
- Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
- scientific article; zbMATH DE number 4213315 (Why is no real title available?)
- scientific article; zbMATH DE number 3537179 (Why is no real title available?)
- scientific article; zbMATH DE number 1894296 (Why is no real title available?)
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- Numerical solutions of two-dimensional unsteady convection-diffusion problems using modified bi-cubic B-spline finite elements
- On the acceleration of explicit finite difference methods for option pricing
- On the rate of convergence of discrete-time contingent claims.
- Options valuation by using radial basis function approximation
- Pricing European and American options by radial basis point interpolation
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Smoothing of initial data and rates of convergence for parabolic difference equations
- Spline Collocation Differentiation Matrices
- The value of an Asian option
Cited in
(8)- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- A robust numerical technique and its analysis for computing the price of an Asian option
- A fourth order numerical method based on B-spline functions for pricing Asian options
- An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
- A robust spline collocation method for pricing American put options
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- High-order exponential spline method for pricing European options
- A hybrid Crank-Nicolson and Morgan-Voyce collocation method for option pricing pides
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