A Numerical Approach to Price Path Dependent Asian Options
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Publication:3304760
DOI10.1007/978-3-319-26520-9_6zbMath1441.91090OpenAlexW2295183295MaRDI QIDQ3304760
Tatiana Chernogorova, Lubin G. Vulkov
Publication date: 3 August 2020
Published in: Large-Scale Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-26520-9_6
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
Cites Work
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- TVD, WENO and blended BDF discretizations for Asian options
- Finite difference scheme with a moving mesh for pricing Asian options
- Wellposedness of the boundary value formulation of a fixed strike Asian option
- Two Splitting Methods for a Fixed Strike Asian Option
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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