Finite difference scheme with a moving mesh for pricing Asian options

DOI10.1016/j.amc.2013.02.065zbMath1288.91190OpenAlexW1971334965MaRDI QIDQ2453245

Zhongdi Cen, Anbo Le, Aimin Xu

Publication date: 6 June 2014

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.02.065

zbMATH Keywords

finite differenceAsian optionmoving mesh methodpath-dependent optionRannacher time stepping scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ A hybrid finite difference scheme for pricing Asian options ⋮ Unnamed Item ⋮ A robust numerical technique and its analysis for computing the price of an Asian option ⋮ An alternating-direction implicit difference scheme for pricing Asian options ⋮ L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing ⋮ A fourth order numerical method based on B-spline functions for pricing Asian options ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ Moving mesh methods for pricing Asian options with regime switching ⋮ Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations ⋮ An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options ⋮ A Numerical Approach to Price Path Dependent Asian Options ⋮ IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models

Cites Work

• Unnamed Item
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• A convergent quadratic-time lattice algorithm for pricing European-style Asian options
• Far Field Boundary Conditions for Black--Scholes Equations
• Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Some mathematical results in the pricing of American options
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• The value of an Asian option

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