Solution to multiscale Asian option pricing model with the singular perturbation method

MaRDI QIDQ2992218zbMATH OpenFDO

Authors Huifang Li, Li-Ping Bao

Publication date 10 August 2016

zbMATH Keywords

singular perturbationstochastic volatilitymultiple scales Asian optionsremainder term estimation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Asymptotic behavior of solutions to PDEs (35B40) Singular perturbations in context of PDEs (35B25) Financial applications of other theories (91G80)

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(7)

• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
• Efficient Spectral-Galerkin Method for Pricing Asian Options
• Pricing Asian options with stochastic volatility
• Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
• Solution to multiscale Asian option pricing model with singular perturbation method
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• scientific article; zbMATH DE number 2133111 (Why is no real title available?)

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