Alternating-direction implicit upwind finite volume method for pricing Asian options

zbMATH Open1174.91446MaRDI QIDQ5453068FDOQ5453068

Authors: Peng Sun, Weidong Zhao 

Publication date: 4 April 2008

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• scientific article; zbMATH DE number 2175061

zbMATH Keywords

maximum principlefinite volume methodAsian optionupwind methodalternating-direction splitting

Mathematics Subject Classification ID

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

Cited In (5)

• TVD, WENO and blended BDF discretizations for Asian options
• A hybrid finite difference scheme for pricing Asian options
• An alternating-direction implicit difference scheme for pricing Asian options
• A reliable numerical method to price arithmetic Asian options
• Finite difference scheme with a moving mesh for pricing Asian options

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