Valuing Asian options using the finite element method and duality techniques

DOI10.1016/J.CAM.2007.10.031MaRDI QIDQ952087zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingBrownian motiondualityfinite element methodGalerkinadaptivitymesh refinementA posteriori error estimationAsian optionaverage option

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1421705 (Why is no real title available?)
• scientific article; zbMATH DE number 967568 (Why is no real title available?)
• A posteriori error estimators for second order elliptic systems. II: An optimal order process for calculating self-equilibrating fluxes
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Estimating the error of numerical solutions of systems of reaction-diffusion equations
• Options on a traded account: Vacation calls, vacation puts and passport options
• The value of an Asian option

Cited in

(10)

• Finite difference scheme with a moving mesh for pricing Asian options
• Bounds on prices for Asian options via Fourier methods
• Lookback option pricing using the Fourier transform B-spline method
• On the Valuation of Asian Options by Variational Methods
• Two efficient parameterized boundaries for Večeř's Asian option pricing PDE
• Partial Differential Equations for Option Pricing
• Option pricing and Greeks via a moving least square meshfree method
• DG method for the numerical pricing of two-asset European-style Asian options with fixed strike.
• ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
• Evaluation of double average asian options by the legendre spectral method

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