An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
DOI10.1016/J.CAM.2011.02.024zbMATH Open1215.60031OpenAlexW2031505684MaRDI QIDQ534248FDOQ534248
Authors: Michael D. Marcozzi 
Publication date: 17 May 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.02.024
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Cites Work
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- The value of an Asian option
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- On the Valuation of Asian Options by Variational Methods
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Cited In (12)
- Valuing Asian options using the finite element method and duality techniques
- Optimal control of ultradiffusion processes with application to mathematical finance
- The discontinuous Galerkin method for discretely observed Asian options
- DG method for pricing European options under Merton jump-diffusion model.
- Title not available (Why is that?)
- On the Valuation of Asian Options by Variational Methods
- TVD, WENO and blended BDF discretizations for Asian options
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- Existence and uniqueness of solutions to the ultraparabolic Hamilton-Jacobi equation
- Title not available (Why is that?)
- Extrapolation discontinuous Galerkin method for ultraparabolic equations
- A Numerical Approach to Price Path Dependent Asian Options
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