Valuing Asian options using the finite element method and duality techniques
type: Item
instance of: scholarly article
title: Valuing Asian options using the finite element method and duality techniques
zbMATH Open document ID: 1153.91019
author: Georgios Foufas
author: Mats G. Larson
published in: Journal of Computational and Applied Mathematics
publication date: 2008-11-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M15
Mathematics Subject Classification ID: 65M50
Mathematics Subject Classification ID: 65M60
zbMATH DE Number: 5362091
zbMATH Keywords: finite element method
zbMATH Keywords: Galerkin
zbMATH Keywords: duality
zbMATH Keywords: A posteriori error estimation
zbMATH Keywords: mesh refinement
zbMATH Keywords: adaptivity
zbMATH Keywords: option pricing
zbMATH Keywords: Brownian motion
zbMATH Keywords: Asian option
zbMATH Keywords: average option
MaRDI profile type: Publication
full work available at URL: j.cam.2007.10.031
OpenAlex ID: W2083990803
cites work: A posteriori error estimators for second order elliptic systems. II: An optimal order process for calculating self-equilibrating fluxes
cites work: Q4946576
cites work: Q5690463
cites work: Estimating the error of numerical solutions of systems of reaction-diffusion equations
cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
cites work: The value of an Asian option
cites work: Options on a traded account: Vacation calls, vacation puts and passport options
DOI: 10.1016/J.CAM.2007.10.031
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description: scientific article; zbMATH DE number 5362091