scientific article; zbMATH DE number 1748282

zbMATH Open0992.91034MaRDI QIDQ4530253FDOQ4530253

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)

Cited In (14)

• New pricing formula for arithmetic Asian options using PDE approach
• PDE and martingale methods in option pricing.
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• Free boundary and optimal stopping problems for American Asian options
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Title not available (Why is that?)
• 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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