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

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

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 stopping; discontinuous Galerkin method; extrapolation; Asian options; ultraparabolic equations

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

35K70: Ultraparabolic equations, pseudoparabolic equations, etc.

Uses Software

RODAS

Cites Work

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Sobolev-Morrey spaces related to an ultraparabolic equation
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BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
On the Valuation of Asian Options by Variational Methods
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The value of an Asian option
GENERALIZED CAUCHY PROBLEM FOR AN ULTRAPARABOLIC EQUATION
Stochastic Problems in Physics and Astronomy
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