Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching

DOI10.1016/j.camwa.2016.02.019zbMath1443.91336OpenAlexW2289021982MaRDI QIDQ2006416

Zhiqiang Zhou, Jingtang Ma

Publication date: 9 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.02.019

zbMATH Keywords

regime switchingChapman-Enskog multi-scale expansionlattice Boltzmann methodsAsian option pricingconvergence rates and stability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Particle methods and lattice-gas methods (76M28) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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