Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option

DOI10.1007/978-3-642-29843-1_63zbMath1354.91165arXiv1106.0020OpenAlexW1546777142MaRDI QIDQ2896445

Juri D. Kandilarov, Daniel Ševčovič

Publication date: 16 July 2012

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.0020

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)

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