An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
DOI10.1016/j.cam.2011.02.024zbMath1215.60031OpenAlexW2031505684MaRDI QIDQ534248
Publication date: 17 May 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.02.024
Stopping times; optimal stopping problems; gambling theory (60G40) 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) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70)
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Cites Work
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