High-order compact finite difference scheme for pricing Asian option with moving boundary condition

DOI10.1007/s12591-017-0372-8zbMath1416.65279OpenAlexW2626256623MaRDI QIDQ2415424

Mani Mehra, Kuldip Singh Patel

Publication date: 21 May 2019

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12591-017-0372-8

zbMATH Keywords

convection-diffusion equationoption pricingAsian optioncompact finite difference scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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