Two splitting methods for a fixed strike Asian option

DOI10.1007/978-3-642-41515-9_22MaRDI QIDQ2859149zbMATH OpenOpenAlexFDO

Authors T. Chernogorova, Lubin G. Vulkov

Publication date 6 November 2013

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41515-9_22

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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