DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike.

DOI10.21136/AM.2017.0273-16zbMath1458.91225OpenAlexW2591631133MaRDI QIDQ2360417

Jiří Hozman, Tomas Tichý

Publication date: 3 July 2017

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/146701

zbMATH Keywords

option pricingdiscontinuous Galerkin methodpath-dependent optionbasket optionfloating strike

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Pricing European and American options under Heston model using discontinuous Galerkin finite elements ⋮ DG method for pricing European options under Merton jump-diffusion model. ⋮ DG framework for pricing European options under one-factor stochastic volatility models

Uses Software

• FreeFem++

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