An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model

DOI10.1007/S11075-024-01794-ZMaRDI QIDQ6660858

Fares Alazemi, Abdulaziz Alsenafi, Javad Alavi

Publication date: 10 January 2025

Published in: Numerical Algorithms (Search for Journal in Brave)

zbMATH Keywords

stabilitystochastic volatility modelmixed fractional Brownian motionEuler's methodcubic B-spline quasi-interpolationgeometric Asian power option

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Cites Work

• Valuation of power options under Heston's stochastic volatility model
• The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
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• A three-dimensional Laguerre one-way wave equation solver
• Pricing of the geometric Asian options under a multifactor stochastic volatility model
• Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations
• Pricing geometric Asian power options in the sub-fractional Brownian motion environment
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Numerical study of the inverse problem of generalized Burgers-Fisher and generalized Burgers-Huxley equations
• Applying cubic B-spline quasi-interpolation to solve 1D wave equations in polar coordinates
• Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
• Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
• Pricing Asian options with stochastic convenience yield and jumps

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