Evaluation of double average asian options by the legendre spectral method

DOI10.1007/S11741-003-0025-8zbMATH Open1112.91327OpenAlexW2059225365MaRDI QIDQ4656198FDOQ4656198

Authors: Huili Sheng, Heping Ma 

Publication date: 11 March 2005

Published in: Journal of Shanghai University (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11741-003-0025-8

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zbMATH Keywords

degenerate parabolic problemLegendre spectral methoddiscretely sampled arithmetic Asian optionsdouble average Asian options

Mathematics Subject Classification ID

Finite difference methods for boundary value problems involving PDEs (65N06) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

Cites Work

• The value of an Asian option
• Title not available (Why is that?)
• Spectral Methods and Their Applications
• Title not available (Why is that?)
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Penalty methods for American options with stochastic volatility
• A Legendre--Petrov--Galerkin and Chebyshev collocation method for third-order differential equations
• Gegenbauer Approximation in Certain Hilbert Spaces and Its Applications to Singular Differential Equations

Cited In (1)

• Spectral Expansions for Asian (Average Price) Options

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