A reliable numerical method to price arithmetic Asian options
DOI10.1016/J.AMC.2012.04.056zbMATH Open1279.91185OpenAlexW1998159671MaRDI QIDQ387463FDOQ387463
Kailash C. Patidar, P. J. Witbooi, W. Mudzimbabwe
Publication date: 23 December 2013
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2012.04.056
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Monte Carlo methodpartial differential equationsstability analysisfinite difference methodsAsian options
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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- Small dimension PDE for discrete Asian options
Cited In (26)
- New pricing formula for arithmetic Asian options using PDE approach
- Accurate closed-form approximation for pricing Asian and basket options
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
- Title not available (Why is that?)
- An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options
- Title not available (Why is that?)
- A hybrid finite difference scheme for pricing Asian options
- An alternating-direction implicit difference scheme for pricing Asian options
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- A new hybrid Monte Carlo simulation for Asian options pricing
- Numerical computation of an integral representation for arithmetic-average Asian options
- An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
- An accurate binomial model for pricing American Asian option
- Pricing Asian options via compound gamma and orthogonal polynomials
- A robust numerical technique and its analysis for computing the price of an Asian option
- A fast, accurate, and simple method for pricing European-Asian and saving-Asian options
- A numerical study of Asian option with radial basis functions based finite differences method
- Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
- Efficient Monte Carlo option pricing under CEV model
- Analytical valuation for geometric Asian options in illiquid markets
- Asian rainbow option pricing formulas of uncertain stock model
- Finite difference scheme with a moving mesh for pricing Asian options
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- A fourth order numerical method based on B-spline functions for pricing Asian options
- Efficient and accurate quadratic approximation methods for pricing Asian strike options
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