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Semi-Lagrange time integration for PDE models of asian options

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. Progress in Industrial Mathematics at ECMI 2004. Mathematics in Industry, 8 . Springer Berlin / Heidelberg, Berlin, pp. 432-436. ISBN 9783540280729 (doi:https://doi.org/10.1007/3-540-28073-1)

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Abstract

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

Item Type: Book Section
Additional Information: This paper forms part of the published proceedings from 13th European Symposium on Mathematics in Industry (ESMI) Eindhoven, NETHERLANDS, JUN 21-25, 2004
Uncontrolled Keywords: semi-Lagrange time integration, Asian American Options, finite difference, coordinate transformation
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Q Science > QA Mathematics
Pre-2014 Departments: School of Computing & Mathematical Sciences
School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis
School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Mechanics & Reliability Group
School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Science & Engineering Group
School of Computing & Mathematical Sciences > Computer & Computational Science Research Group
School of Computing & Mathematical Sciences > Department of Computer Science
School of Computing & Mathematical Sciences > Department of Mathematical Sciences
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Last Modified: 30 Sep 2019 14:31
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
Selected for GREAT 2019: None
URI: http://gala.gre.ac.uk/id/eprint/1088

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