A hybrid finite difference scheme for pricing Asian options

DOI10.1016/j.amc.2014.12.007zbMath1338.91150OpenAlexW2050276432MaRDI QIDQ298703

Anbo Le, Aimin Xu, Zhongdi Cen

Publication date: 21 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.12.007

zbMATH Keywords

partial differential equationAsian optionCrank-Nicolson methodcentral difference methodmidpoint upwind 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)

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Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion ⋮ A robust numerical technique and its analysis for computing the price of an Asian option ⋮ A fourth order numerical method based on B-spline functions for pricing Asian options ⋮ An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options ⋮ A numerical study of Asian option with high-order compact finite difference scheme

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