An alternating-direction implicit difference scheme for pricing Asian options

DOI10.1155/2013/605943zbMath1272.91124DBLPjournals/jam/CenLX13OpenAlexW1964804050WikidataQ59003307 ScholiaQ59003307MaRDI QIDQ364443

Zhongdi Cen, Anbo Le, Aimin Xu

Publication date: 9 September 2013

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

Full work available at URL: https://doi.org/10.1155/2013/605943

zbMATH Keywords

numerical methodnumerical resultsdifference schemeAsian optionsalternating-direction technique

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

A hybrid finite difference scheme for pricing Asian options ⋮ Modified B-spline collocation approach for pricing American style Asian options

Cites Work

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• A reliable numerical method to price arithmetic Asian options
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• A robust finite difference scheme for pricing American put options with singularity-separating method
• Penalty methods for American options with stochastic volatility
• Finite difference scheme with a moving mesh for pricing Asian options
• Wellposedness of the boundary value formulation of a fixed strike Asian option
• Far Field Boundary Conditions for Black--Scholes Equations
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

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