DG method for the numerical pricing of two-asset European-style Asian options with fixed strike.
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Publication:1745989
DOI10.21136/AM.2017.0176-17zbMath1458.91226MaRDI QIDQ1745989
Publication date: 18 April 2018
Published in: Applications of Mathematics (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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