A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
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Publication:5693199
DOI10.1137/030602630zbMATH Open1149.65316OpenAlexW2030828704MaRDI QIDQ5693199FDOQ5693199
Authors: Y. d'Halluin, P. A. Forsyth, G. Labahn 
Publication date: 22 September 2005
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/030602630
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jump diffusionAmerican optionimplicit discretizationsemi-Lagrangiancontinuously observed Asian option
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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- Optimal trade execution: a mean quadratic variation approach
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- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
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- Optimal stock selling/buying strategy with reference to the ultimate average
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- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- Semi-Lagrange Time Integration for PDE Models of Asian Options
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- High-order compact finite difference scheme for pricing Asian option with moving boundary condition
- On the numerical solution of nonlinear option pricing equation in illiquid markets
- On the numerical evaluation of option prices in the variance gamma model
- Hedging with a correlated asset: Solution of a nonlinear pricing PDE
- Pricing pension plans under jump-diffusion models for the salary
- The pricing of Asian options in uncertain volatility model
- Pricing Asian options in a stochastic volatility model with jumps
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