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

DOI10.1016/J.CAM.2011.02.024MaRDI QIDQ534248zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

discontinuous Galerkin methodextrapolationoptimal stoppingAsian optionsultraparabolic equations

Mathematics Subject Classification ID

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

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Cited in

(12)

• Valuing Asian options using the finite element method and duality techniques
• Existence and uniqueness of solutions to the ultraparabolic Hamilton-Jacobi equation
• Extrapolation discontinuous Galerkin method for ultraparabolic equations
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• On the Valuation of Asian Options by Variational Methods
• Optimal control of ultradiffusion processes with application to mathematical finance
• TVD, WENO and blended BDF discretizations for Asian options
• A Numerical Approach to Price Path Dependent Asian Options
• DG method for pricing European options under Merton jump-diffusion model.
• Efficient Spectral-Galerkin Method for Pricing Asian Options
• The discontinuous Galerkin method for discretely observed Asian options

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