The discontinuous Galerkin method for discretely observed Asian options

DOI10.1002/mma.6160zbMath1448.91324OpenAlexW2999425006MaRDI QIDQ5120892

Tomas Tichý, Jiří Hozman

Publication date: 16 September 2020

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.6160

zbMATH Keywords

option pricingdiscontinuous Galerkin methodAsian optionspenalty methoddiscrete samplingAmerican-style options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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