Two efficient parameterized boundaries for Večeř's Asian option pricing PDE

DOI10.1007/S10255-012-0179-XzbMATH Open1253.91189OpenAlexW3125535360MaRDI QIDQ692704FDOQ692704

Authors: Bai-min Yu 

Publication date: 6 December 2012

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-012-0179-x

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zbMATH Keywords

sensitivityfinite differenceAsian optionparameterized boundariesVečeř's PDE

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for boundary value problems involving PDEs (65N06)

Cites Work

• Title not available (Why is that?)
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

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