Efficient Spectral-Galerkin Method for Pricing Asian Options
DOI10.4208/JMS.V55N4.22.02OpenAlexW4312270770MaRDI QIDQ5882286FDOQ5882286
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
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Cites Work
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- Spectral methods. Algorithms, analysis and applications.
- Finite-Element Approximation of the Nonstationary Navier–Stokes Problem. Part IV: Error Analysis for Second-Order Time Discretization
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- Spectral Methods
- Spectral and high-order methods with applications.
- Efficient Spectral-Galerkin Method I. Direct Solvers of Second- and Fourth-Order Equations Using Legendre Polynomials
- Spectral approximation for elliptic boundary value problems
- On error estimates of the projection methods for the Navier-Stokes equations: Second-order schemes
- A numerical study of Asian option with radial basis functions based finite differences method
- Finite difference scheme with a moving mesh for pricing Asian options
- A hybrid finite difference scheme for pricing Asian options
- A reliable numerical method to price arithmetic Asian options
- A spectral element approximation to price European options with one asset and stochastic volatility
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- A spectral element method to price European options. I. Single asset with and without jump diffusion
- Wellposedness of the boundary value formulation of a fixed strike Asian option
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- A numerical study of Asian option with high-order compact finite difference scheme
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- A fourth order numerical method based on B-spline functions for pricing Asian options
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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