DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike.
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Publication:2360417
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
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- Small dimension PDE for discrete Asian options
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