TVD, WENO and blended BDF discretizations for Asian options

DOI10.1007/s00791-003-0117-9zbMath1079.91039OpenAlexW1983042782MaRDI QIDQ706545

J. C. Frisch, Francisco José Gaspar, Cornelis W. Oosterlee

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

zbMATH Keywords

partial differential equationsBlack-Scholes equationdiscretization schemes

Mathematics Subject Classification ID

Related Items

The pricing of Asian options in uncertain volatility model ⋮ A Numerical Approach to Price Path Dependent Asian Options ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ Numerical option pricing without oscillations using flux limiters ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model ⋮ Conservative third-order central-upwind schemes for option pricing problems ⋮ High accurate modified WENO method for the solution of Black-Scholes equation

Uses Software

• RODAS

Cites Work

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