Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
type: Item
instance of: scholarly article
title: Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
zbMATH Open document ID: 1443.91336
author: Zhiqiang Zhou
author: Jingtang Ma
publication date: 2020-10-09T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35K20
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65M75
Mathematics Subject Classification ID: 76M28
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7258576
zbMATH Keywords: Asian option pricing
zbMATH Keywords: regime switching
zbMATH Keywords: lattice Boltzmann methods
zbMATH Keywords: convergence rates and stability
zbMATH Keywords: Chapman-Enskog multi-scale expansion
MaRDI profile type: Publication
full work available at URL: j.camwa.2016.02.019
OpenAlex ID: W2289021982
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DOI: 10.1016/J.CAMWA.2016.02.019
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7258576