A numerical study of Asian option with high-order compact finite difference scheme
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Publication:721576
DOI10.1007/S12190-017-1115-2zbMATH Open1403.91375OpenAlexW2616008833MaRDI QIDQ721576FDOQ721576
Authors: Kuldip Singh Patel, Mani Mehra 
Publication date: 19 July 2018
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12190-017-1115-2
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Cites Work
- The pricing of options and corporate liabilities
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- The value of an Asian option
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- Stability of Time-Stepping Methods for Abstract Time-Dependent Parabolic Problems
- Compact finite difference method for American option pricing
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Cited In (13)
- The discontinuous Galerkin method for discretely observed Asian options
- High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep
- TVD, WENO and blended BDF discretizations for Asian options
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- Wavelet-optimized compact finite difference method for convection-diffusion equations
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- An efficient hybrid method based on cubic B-spline and fourth-order compact finite difference for solving nonlinear advection-diffusion-reaction equations
- A hybrid finite difference scheme for pricing Asian options
- Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients
- Numerical methods for time-fractional convection-diffusion problems with high-order accuracy
- A new development of sixth order accurate compact scheme for the Helmholtz equation
- Finite difference scheme with a moving mesh for pricing Asian options
- A novel hybrid method based cubic B-spline for one-dimensional Stefan problem with moving PCM, size-dependent thermal conductivity and periodic boundary condition
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