A robust numerical technique and its analysis for computing the price of an Asian option
DOI10.1016/J.CAM.2022.114527zbMATH Open1492.91431OpenAlexW4283259076MaRDI QIDQ2161069FDOQ2161069
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
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Cites Work
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- Survey of the stability of linear finite difference equations
- Theory of exponential splines
- Title not available (Why is that?)
- A numerical study of Asian option with radial basis functions based finite differences method
- Finite difference scheme with a moving mesh for pricing Asian options
- A hybrid finite difference scheme for pricing Asian options
- Title not available (Why is that?)
- A reliable numerical method to price arithmetic Asian options
- Title not available (Why is that?)
- Exponential B-spline collocation method for self-adjoint singularly perturbed boundary value problems
- A theoretical introduction to numerical analysis
Cited In (5)
- An optimal computational method for a general class of nonlinear boundary value problems
- An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- A convergent exponential B-spline collocation method for a time-fractional telegraph equation
- A fourth order numerical method based on B-spline functions for pricing Asian options
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