Application of high-precision computing for pricing arithmetic asian options
Proceedings of the 2006 international symposium on Symbolic and algebraic computation
Applied Numerical Mathematics - Selected papers from the first Chilean workshop on numerical analysis of partial differential equations (WONAPDE 2004)
Hedging with a correlated asset: Solution of a nonlinear pricing PDE
Journal of Computational and Applied Mathematics
Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
Journal of Computational and Applied Mathematics
Infinite reload options: Pricing and analysis
Journal of Computational and Applied Mathematics
Pricing American Asian options with higher moments in the underlying distribution
Journal of Computational and Applied Mathematics
On the numerical evaluation of option prices in the variance gamma model
International Journal of Computer Mathematics - RECENT ADVANCES IN COMPUTATIONAL AND APPLIED MATHEMATICS IN SCIENCE AND ENGINEERING
A Hamilton-Jacobi-Bellman approach to optimal trade execution
Applied Numerical Mathematics
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Computational Economics
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
Applied Numerical Mathematics
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A semi-Lagrangian method is presented to price continuously observed fixed strike Asian options. At each timestep a set of one-dimensional partial integrodifferential equations (PIDEs) is solved and the solution of each PIDE is updated using semi-Lagrangian timestepping. Crank--Nicolson and second-order backward differencing timestepping schemes are studied. Monotonicity and stability results are derived. With low volatility values, it is observed that the nonsmoothness at the strike in the payoff affects the convergence rate; a subquadratic convergence rate is observed.