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

Asian optionconvergencedelta valueexponential B-splinestability

Mathematics Subject Classification ID

Numerical computation using splines (65D07) 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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• 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
• 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?)
• Survey of the stability of linear finite difference equations
• The value of an Asian option
• Theory of exponential splines

Cited in

(6)

• 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 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 optimal computational method for a general class of nonlinear boundary value problems
• An efficient computational method based on exponential B-splines for a class of fractional sub-diffusion equations

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