High-Order Compact Finite Difference Scheme for Pricing Asian Option with Moving Boundary Condition
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Analysis
Link
http://link.springer.com/article/10.1007/s12591-017-0372-8/fulltext.html
Reference34 articles.
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4. Marcozzi, M.D.: On the valuation of Asian options by variational methods. SIAM J. Sci. Comput. 24, 1124–1140 (2003)
5. Dubois, F., Lelievre, T.: Efficient pricing of Asian option by PDE approach. J. Comput. Financ. 8, 55–64 (2005)
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