Semi-Lagrange Time Integration for PDE Models of Asian Options

DOI10.1007/3-540-28073-1_68zbMath1308.91192OpenAlexW1508589451MaRDI QIDQ3618342

A. K. Parrott, Sweta Rout

Publication date: 31 March 2009

Published in: Progress in Industrial Mathematics at ECMI 2004 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/3-540-28073-1_68

zbMATH Keywords

finite differencecoordinate transformationAsian American optionssemi-Lagrange time integration

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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