scientific article; zbMATH DE number 1748282

MaRDI QIDQ4530253zbMATH OpenFDO

Authors Gunter H. Meyer

Publication date 3 June 2002

Full work available at URL https://eudml.org/doc/121999

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zbMATH Keywords

numerical methodsBlack-Scholes PDEAmerican and Asian options

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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• New pricing formula for arithmetic Asian options using PDE approach
• PDE and martingale methods in option pricing.
• Free boundary and optimal stopping problems for American Asian options
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
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• A Numerical Approach to Price Path Dependent Asian Options
• Pseudospectral methods for pricing options
• Computation and sensitivity analysis of the pricing of American call options
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
• PDE methods for pricing barrier options
• Semi-Lagrange Time Integration for PDE Models of Asian Options
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
• Adaptive \(\theta \)-methods for pricing American options

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