Efficient Spectral-Galerkin Method for Pricing Asian Options

DOI10.4208/JMS.V55N4.22.02MaRDI QIDQ5882286zbMATH OpenOpenAlexFDO

Authors Lina Hu

Publication date 15 March 2023

Published in Journal of Mathematical Study (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jms.v55n4.22.02

zbMATH Keywords

error analysisLegendre polynomialAsian optionspectral-Galerkin method

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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• The discontinuous Galerkin method for discretely observed Asian options
• Solution to multiscale Asian option pricing model with the singular perturbation method

Cites work

• scientific article; zbMATH DE number 3491650 (Why is no real title available?)
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• A hybrid finite difference scheme for pricing Asian options
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• A reliable numerical method to price arithmetic Asian options
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• Efficient Spectral-Galerkin Method I. Direct Solvers of Second- and Fourth-Order Equations Using Legendre Polynomials
• Finite difference scheme with a moving mesh for pricing Asian options
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• On error estimates of the projection methods for the Navier-Stokes equations: Second-order schemes
• Spectral Methods
• Spectral and high-order methods with applications.
• Spectral approximation for elliptic boundary value problems
• Spectral methods. Algorithms, analysis and applications.
• Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
• The value of an Asian option
• Wellposedness of the boundary value formulation of a fixed strike Asian option

Cited in

(6)

• Spectral Expansions for Asian (Average Price) Options
• The discontinuous Galerkin method for discretely observed Asian options
• TVD, WENO and blended BDF discretizations for Asian options
• An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
• A fourth order numerical method based on B-spline functions for pricing Asian options
• Efficient and accurate quadratic approximation methods for pricing Asian strike options

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