Numerical pricing of geometric asian options with barriers

DOI10.1002/MMA.5179zbMath1419.91643OpenAlexW2905527752MaRDI QIDQ4611108

Lorenzo Diazzi, Chiara Guardasoni, Alessandra Aimi

Publication date: 24 January 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.5179

zbMATH Keywords

finite difference methodboundary element methodbarrier optionsgeometric Asian options

Mathematics Subject Classification ID

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

Related Items (2)

Collocation boundary element method for the pricing of geometric Asian options ⋮ Existence of a fundamental solution of partial differential equations associated to Asian options

This page was built for publication: Numerical pricing of geometric asian options with barriers