A numerical study of Asian option with high-order compact finite difference scheme
From MaRDI portal
Publication:721576
DOI10.1007/s12190-017-1115-2zbMath1403.91375OpenAlexW2616008833MaRDI QIDQ721576
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
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Efficient Spectral-Galerkin Method for Pricing Asian Options, FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS, Numerical methods for time-fractional convection-diffusion problems with high-order accuracy, Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients, An efficient hybrid method based on cubic B-spline and fourth-order compact finite difference for solving nonlinear advection-diffusion-reaction equations, High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep, Wavelet-optimized compact finite difference method for convection-diffusion equations, A new development of sixth order accurate compact scheme for the Helmholtz equation, A novel hybrid method based cubic B-spline for one-dimensional Stefan problem with moving PCM, size-dependent thermal conductivity and periodic boundary condition
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A hybrid finite difference scheme for pricing Asian options
- Approximations for Asian options in local volatility models
- A fast high-order finite difference algorithm for pricing American options
- Compact finite difference schemes with spectral-like resolution
- A hermitian finite difference method for the solution of parabolic equations
- Highly accurate compact implicit methods and boundary conditions
- Penalty methods for American options with stochastic volatility
- High order difference schemes for unsteady one-dimensional diffusion- convection problems
- A numerical study of Asian option with radial basis functions based finite differences method
- Compact finite difference method for American option pricing
- Accurate pricing formulas for Asian options
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
- A higher order compact finite difference algorithm for solving the incompressible Navier-Stokes equations
- Pricing Discretely Monitored Asian Options by Maturity Randomization
- Survey of the stability of linear finite difference equations
- Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
- Stability of Time-Stepping Methods for Abstract Time-Dependent Parabolic Problems
- On the Valuation of Asian Options by Variational Methods
- A class of higher order compact schemes for the unsteady two-dimensional convection-diffusion equation with variable convection coefficients
- High‐order compact scheme for the steady stream‐function vorticity equations
- The value of an Asian option
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
