Collocation boundary element method for the pricing of geometric Asian options
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Publication:1658798
DOI10.1016/J.ENGANABOUND.2017.10.007zbMath1403.91370OpenAlexW2770788803MaRDI QIDQ1658798
Chiara Guardasoni, Alessandra Aimi
Publication date: 15 August 2018
Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.enganabound.2017.10.007
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38)
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Cites Work
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