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

American and Asian optionsBlack-Scholes PDEnumerical methods

Mathematics Subject Classification ID

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

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(15)

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

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