Two efficient parameterized boundaries for Večeř's Asian option pricing PDE

DOI10.1007/S10255-012-0179-XzbMath1253.91189OpenAlexW3125535360MaRDI QIDQ692704

Bai-min Yu

Publication date: 6 December 2012

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-012-0179-x

zbMATH Keywords

sensitivityfinite differenceAsian optionparameterized boundariesVečeř's PDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

Cites Work

• Unnamed Item
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

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