Moving mesh methods for pricing Asian options with regime switching

DOI10.1016/j.cam.2015.11.027zbMath1409.91278OpenAlexW2214524021MaRDI QIDQ908388

Jingtang Ma, Zhiqiang Zhou

Publication date: 4 February 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.11.027

zbMATH Keywords

convergence ratesregime switchingmoving mesh methodsAsian option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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