A numerical study of Asian option with high-order compact finite difference scheme

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

scientific article; zbMATH DE number 3875781 (Why is no real title available?)
scientific article; zbMATH DE number 52120 (Why is no real title available?)
scientific article; zbMATH DE number 503063 (Why is no real title available?)
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
A class of higher order compact schemes for the unsteady two-dimensional convection-diffusion equation with variable convection coefficients
A convergent quadratic-time lattice algorithm for pricing European-style Asian options
A fast high-order finite difference algorithm for pricing American options
A hermitian finite difference method for the solution of parabolic equations
A higher-order compact finite difference algorithm for solving the incompressible Navier-Stokes equations
A hybrid finite difference scheme for pricing Asian options
A numerical study of Asian option with radial basis functions based finite differences method
A theoretical introduction to numerical analysis
Accurate pricing formulas for Asian options
Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
Approximations for Asian options in local volatility models
Compact finite difference method for American option pricing
Compact finite difference schemes with spectral-like resolution
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
Exotic option pricing and advanced Lévy models.
High order difference schemes for unsteady one-dimensional diffusion- convection problems
Highly accurate compact implicit methods and boundary conditions
High‐order compact scheme for the steady stream‐function vorticity equations
On the Valuation of Asian Options by Variational Methods
Penalty methods for American options with stochastic volatility
Pricing discretely monitored Asian options by maturity randomization
Stability of Time-Stepping Methods for Abstract Time-Dependent Parabolic Problems
Survey of the stability of linear finite difference equations
The pricing of options and corporate liabilities
The value of an Asian option

Cited in

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High-order compact finite difference scheme for pricing Asian option with moving boundary condition
Wavelet-optimized compact finite difference method for convection-diffusion equations
Finite difference scheme with a moving mesh for pricing Asian options
High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep
Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
A new development of sixth order accurate compact scheme for the Helmholtz equation
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
TVD, WENO and blended BDF discretizations for Asian options
Numerical methods for time-fractional convection-diffusion problems with high-order accuracy
A hybrid finite difference scheme for pricing Asian options
Efficient Spectral-Galerkin Method 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
The discontinuous Galerkin method for discretely observed Asian options

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