Semi-Lagrange Time Integration for PDE Models of Asian Options

DOI10.1007/3-540-28073-1_68MaRDI QIDQ3618342zbMATH OpenOpenAlexFDO

Authors A. K. Parrott, Sweta Rout

Publication date 31 March 2009

Published in Progress in Industrial Mathematics at ECMI 2004 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-28073-1_68

zbMATH Keywords

finite differencecoordinate transformationAsian American optionssemi-Lagrange time integration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(3)

• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• TVD, WENO and blended BDF discretizations for Asian options
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

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