Small dimension PDE for discrete Asian options

DOI10.1016/S0165-1889(02)00117-3MaRDI QIDQ951412zbMATH OpenOpenAlexFDO

Authors Eric Benhamou, Alexandre Duguet

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

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

zbMATH Keywords

Crank-Nicholsondiscrete Asian optionhomogeneitynon-proportional dividendsPDEssmile

Mathematics Subject Classification ID

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

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Cites work

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• Markov interest rate models
• Option pricing when underlying stock returns are discontinuous
• Penalty methods for American options with stochastic volatility
• Pricing interest-rate-derivative securities
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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• The value of an Asian option

Cited in

(9)

• A numerical study of Asian option with radial basis functions based finite differences method
• Asian and Australian options: a common perspective
• DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike.
• Efficient solutions for discrete Asian options
• A reliable numerical method to price arithmetic Asian options
• Low-dimensional partial integro-differential equations for high-dimensional Asian options
• Asymptotic approximations for Asian, European, and American options with discrete averaging or discrete dividend/coupon payments
• Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model
• A lattice algorithm for pricing moving average barrier options

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