Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching

DOI10.1016/J.CAMWA.2016.02.019zbMATH Open1443.91336OpenAlexW2289021982MaRDI QIDQ2006416FDOQ2006416

Authors: Zhiqiang Zhou, Jingtang Ma 

Publication date: 9 October 2020

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.02.019

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zbMATH Keywords

regime switchingChapman-Enskog multi-scale expansionlattice Boltzmann methodsAsian option pricingconvergence rates and stability

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Initial-boundary value problems for second-order parabolic equations (35K20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Particle methods and lattice-gas methods (76M28)

Cites Work

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Cited In (3)

• Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
• Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

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