Small dimension PDE for discrete Asian options

DOI10.1016/S0165-1889(02)00117-3zbMath1179.91239OpenAlexW3124219714MaRDI QIDQ951412

Eric Benhamou, Alexandre Duguet

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00117-3

zbMATH Keywords

smilehomogeneityPDEsCrank-Nicholsondiscrete Asian optionnon-proportional dividends

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for boundary value problems involving PDEs (65N06)

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A numerical study of Asian option with radial basis functions based finite differences method, A reliable numerical method to price arithmetic Asian options, Efficient solutions for discrete Asian options, Asian and Australian options: a common perspective, A lattice algorithm for pricing moving average barrier options

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