The pricing of Asian options in uncertain volatility model
type: Item
instance of: scholarly article
title: The pricing of Asian options in uncertain volatility model
zbMATH Open document ID: 1407.91248
DOI: 10.1155/2014/786391
author: Huadong Zhang
author: Yu-lian Fan
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: This paper studies the pricing of Asian options when the volatility of the underlying asset is uncertain. We use the nonlinear Feynman-Kac formula in the G-expectation theory to get the two-dimensional nonlinear PDEs. For the arithmetic average fixed strike Asian options, the nonlinear PDEs can be transferred to linear PDEs. For the arithmetic average floating strike Asian options, we use a dimension reduction technique to transfer the two-dimensional nonlinear PDEs to one-dimensional nonlinear PDEs. Then we introduce the applicable numerical computation methods for these two classes of PDEs and analyze the performance of the numerical algorithms.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7017256
Wikidata QID: Q59072173
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/786391
OpenAlex ID: W1999124532
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description: scientific article; zbMATH DE number 7017256