TVD, WENO and blended BDF discretizations for Asian options
From MaRDI portal
Publication:706545
DOI10.1007/S00791-003-0117-9zbMATH Open1079.91039OpenAlexW1983042782MaRDI QIDQ706545FDOQ706545
Authors: J. C. Frisch, Cornelis W. Oosterlee, Francisco José Gaspar 
Publication date: 8 February 2005
Published in: Computing and Visualization in Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00791-003-0117-9
Recommendations
- WENO and blended BDF discretizations for option pricing problems
- A hybrid finite difference scheme for pricing Asian options
- The discontinuous Galerkin method for discretely observed Asian options
- Alternating-direction implicit upwind finite volume method for pricing Asian options
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- Finite difference scheme with a moving mesh for pricing Asian options
- Semi-Lagrange Time Integration for PDE Models of Asian Options
- A numerical study of Asian option with high-order compact finite difference scheme
- An alternating-direction implicit difference scheme for pricing Asian options
Cites Work
- Title not available (Why is that?)
- Uniformly high order accurate essentially non-oscillatory schemes. III
- Efficient implementation of weighted ENO schemes
- Numerical initial value problems in ordinary differential equations.
- Title not available (Why is that?)
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Title not available (Why is that?)
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- Multigrid for American option pricing with stochastic volatility
- Title not available (Why is that?)
- On the Valuation of Asian Options by Variational Methods
- Partially implicit BDF2 blends for convection-dominated flows
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
Cited In (9)
- Numerical option pricing without oscillations using flux limiters
- A Numerical Approach to Price Path Dependent Asian Options
- A highly parallel Black--Scholes solver based on adaptive sparse grids
- Title not available (Why is that?)
- Conservative third-order central-upwind schemes for option pricing problems
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- High accurate modified WENO method for the solution of Black-Scholes equation
- WENO and blended BDF discretizations for option pricing problems
- The pricing of Asian options in uncertain volatility model
Uses Software
This page was built for publication: TVD, WENO and blended BDF discretizations for Asian options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q706545)
