Partial differential equations for Asian option prices

DOI10.1080/14697688.2015.1052838zbMath1465.91109OpenAlexW2176666842MaRDI QIDQ5001142

No author found.

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1052838

zbMATH Keywords

partial differential equationsAsian optionsCrank-Nicolsonone state variable

Mathematics Subject Classification ID

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)

Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion ⋮ A stochastic local volatility technique for TARN options

Cites Work

• Unnamed Item
• Stochastic calculus for finance. II: Continuous-time models.
• Bounds for in-progress floating-strike Asian options using symmetry
• An efficient convergent lattice algorithm for European Asian options
• Laguerre Series for Asian and Other Options
• BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
• On the equivalence of floating- and fixed-strike Asian options
• The value of an Asian option
• Nonlinear instability in advection-diffusion numerical models

This page was built for publication: Partial differential equations for Asian option prices