Comparative study of numerical algorithms for the arithmetic Asian option

MaRDI QIDQ4642728zbMATH OpenFDO

Authors Jian Wang, Jungyup Ban, Seongjin Lee, Changwoo Yoo

Publication date 25 May 2018

zbMATH Keywords

arithmetic Asian optionBlack-Scholes equationfinite difference methodoperator splitting method

Mathematics Subject Classification ID

Controllability (93B05)

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