Efficient Spectral-Galerkin Method for Pricing Asian Options

DOI10.4208/jms.v55n4.22.02OpenAlexW4312270770MaRDI QIDQ5882286

Lina Hu

Publication date: 15 March 2023

Published in: Journal of Mathematical Study (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jms.v55n4.22.02

zbMATH Keywords

error analysisLegendre polynomialAsian optionspectral-Galerkin method

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cites Work

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