Evaluation of double average asian options by the legendre spectral method

DOI10.1007/s11741-003-0025-8zbMath1112.91327OpenAlexW2059225365MaRDI QIDQ4656198

Huili Sheng, He-Ping Ma

Publication date: 11 March 2005

Published in: Journal of Shanghai University (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11741-003-0025-8

zbMATH Keywords

degenerate parabolic problemLegendre spectral methoddiscretely sampled arithmetic Asian optionsdouble average Asian options

Mathematics Subject Classification ID

Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite difference methods for boundary value problems involving PDEs (65N06)

Cites Work

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• Penalty methods for American options with stochastic volatility
• A Legendre--Petrov--Galerkin and Chebyshev Collocation Method for Third-Order Differential Equations
• Spectral Methods and Their Applications
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• The value of an Asian option
• Gegenbauer Approximation in Certain Hilbert Spaces and Its Applications to Singular Differential Equations

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