Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
From MaRDI portal
Publication:2507719
DOI10.1016/j.apnum.2006.03.026zbMath1184.91210MaRDI QIDQ2507719
Carlos Vázquez, Alfredo Bermúdez, María R. Nogueiras
Publication date: 5 October 2006
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2006.03.026
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs
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