TVD, WENO and blended BDF discretizations for Asian options |
| |
| Authors: | C.W. Oosterlee J.C. Frisch F.J. Gaspar |
| |
| Affiliation: | (1) Fac. Information, Technology and Systems, Delft University of Technology, Delft, The Netherlands;(2) Fraunhofer Institute for Algorithms and Scientific Computing (SCAI), D-53754 Sankt Augustin, Germany;(3) C.P.S. University of Zaragoza, 50008 Zaragoza, Spain |
| |
| Abstract: | In this paper, we discuss topics for a fast and accurate solution of continuous American-style Asian option problems from computational finance. These problems lead to 2D time-dependent convection-dominated partial differential equations with a free boundary. As a pre-study for accurate discretization schemes in “asset price space” and in time, we solve numerically reference problems based on the Black-Scholes equation with small volatility and with discontinuous final conditions. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
