An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options
We propose a fast and stable numerical method to evaluate two-dimensional partial differential equation (PDE) for pricing arithmetic average Asian options. The numerical method is deduced by combining an alternating-direction technique and the central difference scheme on a piecewise uniform mesh. T...
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| Hauptverfasser: | , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Wiley
2013-01-01
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| Schriftenreihe: | Journal of Applied Mathematics |
| Online-Zugang: | http://dx.doi.org/10.1155/2013/605943 |
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