Semi-Lagrange time integration for PDE models of asian options
Parrott, Kevin and Rout, Sweta (2006) Semi-Lagrange time integration for PDE models of asian options. In: Progress in Industrial Mathematics at ECMI 2004. Mathematics in Industry, 8 . Springer Berlin / Heidelberg, Berlin, pp. 432-436. ISBN 9783540280729Full text not available from this repository.
Semi-Lagrange time integration is used with the finite difference method to provide accurate stable prices for Asian options, with or without early exercise. These are combined with coordinate transformations for computational efficiency and compared with published results
Actions (login required)