A reliable numerical method to price arithmetic Asian options

DOI10.1016/j.amc.2012.04.056zbMath1279.91185OpenAlexW1998159671MaRDI QIDQ387463

Kailash C. Patidar, Peter J. Witbooi, Walter Mudzimbabwe

Publication date: 23 December 2013

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

Full work available at URL: https://doi.org/10.1016/j.amc.2012.04.056

zbMATH Keywords

stability analysisMonte Carlo methodfinite difference methodspartial differential equationsAsian options

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)

Related Items (15)

Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ A hybrid finite difference scheme for pricing Asian options ⋮ Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion ⋮ Analytical valuation for geometric Asian options in illiquid markets ⋮ A numerical study of Asian option with radial basis functions based finite differences method ⋮ A robust numerical technique and its analysis for computing the price of an Asian option ⋮ Pricing Asian options via compound gamma and orthogonal polynomials ⋮ An alternating-direction implicit difference scheme for pricing Asian options ⋮ A fourth order numerical method based on B-spline functions for pricing Asian options ⋮ Finite difference scheme with a moving mesh for pricing Asian options ⋮ An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options ⋮ A new hybrid Monte Carlo simulation for Asian options pricing ⋮ Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps ⋮ Asian rainbow option pricing formulas of uncertain stock model ⋮ Efficient Monte Carlo option pricing under CEV model

Uses Software

• cheney-kincaid

Cites Work

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• Small dimension PDE for discrete Asian options
• Stochastic calculus for finance. I: The binomial asset pricing model.
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
• An Introduction to Financial Option Valuation
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• Stochastic differential equations. An introduction with applications.

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