Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods

DOI10.1016/j.apnum.2006.03.026zbMath1184.91210OpenAlexW2045769731MaRDI QIDQ2507719

Carlos Vázquez, María R. Nogueiras, Alfredo Bermúdez

Publication date: 5 October 2006

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2006.03.026

zbMATH Keywords

duality algorithmAmerasian optionsBlack--Scholes modelsLagrange--Galerkin method

Mathematics Subject Classification ID

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)

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