Evaluation of double average asian options by the legendre spectral method

DOI10.1007/S11741-003-0025-8MaRDI QIDQ4656198zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 193036 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• 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
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Penalty methods for American options with stochastic volatility
• Spectral Methods and Their Applications
• The value of an Asian option

Cited in

(1)

• Spectral Expansions for Asian (Average Price) Options

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