An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options

DOI10.1016/j.cam.2011.02.024zbMath1215.60031OpenAlexW2031505684MaRDI QIDQ534248

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

zbMATH Keywords

optimal stoppingdiscontinuous Galerkin methodextrapolationAsian optionsultraparabolic equations

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70)

Related Items (3)

A Numerical Approach to Price Path Dependent Asian Options ⋮ DG method for pricing European options under Merton jump-diffusion model. ⋮ Optimal control of ultradiffusion processes with application to mathematical finance

Uses Software

• RODAS

Cites Work

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