Valuing Asian options using the finite element method and duality techniques
DOI10.1016/J.CAM.2007.10.031zbMATH Open1153.91019OpenAlexW2083990803MaRDI QIDQ952087FDOQ952087
Authors: Georgios Foufas, Mats G. Larson 
Publication date: 6 November 2008
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.2007.10.031
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- scientific article; zbMATH DE number 2051964
option pricingBrownian motiondualityfinite element methodGalerkinadaptivitymesh refinementA posteriori error estimationAsian optionaverage option
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Cites Work
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- Options on a traded account: Vacation calls, vacation puts and passport options
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- Estimating the error of numerical solutions of systems of reaction-diffusion equations
- A posteriori error estimators for second order elliptic systems. II: An optimal order process for calculating self-equilibrating fluxes
Cited In (10)
- Bounds on prices for Asian options via Fourier methods
- On the Valuation of Asian Options by Variational Methods
- DG method for the numerical pricing of two-asset European-style Asian options with fixed strike.
- Two efficient parameterized boundaries for Večeř's Asian option pricing PDE
- Evaluation of double average asian options by the legendre spectral method
- ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
- Option pricing and Greeks via a moving least square meshfree method
- Partial Differential Equations for Option Pricing
- Finite difference scheme with a moving mesh for pricing Asian options
- Lookback option pricing using the Fourier transform B-spline method
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