Valuing Asian options using the finite element method and duality techniques

DOI10.1016/j.cam.2007.10.031zbMath1153.91019OpenAlexW2083990803MaRDI QIDQ952087

Georgios Foufas, Mats G. Larson

Publication date: 6 November 2008

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.2007.10.031

zbMATH Keywords

finite element methodBrownian motionoption pricingdualityadaptivitymesh refinementAsian optionGalerkinA posteriori error estimationaverage option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

Related Items (3)

BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ Lookback option pricing using the Fourier transform B-spline method ⋮ Option pricing and Greeks via a moving least square meshfree method

Cites Work

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• A posteriori error estimators for second order elliptic systems. II: An optimal order process for calculating self-equilibrating fluxes
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Estimating the error of numerical solutions of systems of reaction-diffusion equations
• The value of an Asian option
• Options on a traded account: Vacation calls, vacation puts and passport options

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