A robust numerical technique and its analysis for computing the price of an Asian option

DOI10.1016/J.CAM.2022.114527MaRDI QIDQ2161069zbMATH OpenOpenAlexFDO

Authors Pradip Roul

Publication date 4 August 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2022.114527

zbMATH Keywords

convergencestabilityexponential B-splineAsian optiondelta value

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

• scientific article; zbMATH DE number 2175061 (Why is no real title available?)
• scientific article; zbMATH DE number 16800 (Why is no real title available?)
• scientific article; zbMATH DE number 3182507 (Why is no real title available?)
• A hybrid finite difference scheme for pricing Asian options
• A numerical study of Asian option with radial basis functions based finite differences method
• A reliable numerical method to price arithmetic Asian options
• A theoretical introduction to numerical analysis
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Exponential B-spline collocation method for self-adjoint singularly perturbed boundary value problems
• Finite difference scheme with a moving mesh for pricing Asian options
• Survey of the stability of linear finite difference equations
• The value of an Asian option
• Theory of exponential splines

Cited in

(5)

• An optimal computational method for a general class of nonlinear boundary value problems
• A convergent exponential B-spline collocation method for a time-fractional telegraph equation
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
• An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
• A fourth order numerical method based on B-spline functions for pricing Asian options

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