A robust numerical technique and its analysis for computing the price of an Asian option-Reference-Cited by-同舟云学术

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A robust numerical technique and its analysis for computing the price of an Asian option

Published:2022-12 Issue: Volume:416 Page:114527
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Roul Pradip^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference21 articles.

1. Theory of Financial Decision Making;Ingersoll,1987

2. Option Pricing: Mathematical Models and Computation;Wilmottm,1993

3. The value of an Asian option;Rogers;J. Appl. Probab.,1995

4. Bessel processes Asian options and perpetuities;Geman;Math. Finance,1993

5. A numerical study of Asian option with radial basis functions based finite differences method;Kumar;Eng. Anal. Bound. Elem.,2015

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An optimal computational method for a general class of nonlinear boundary value problems;Journal of Mathematical Chemistry;2023-07-12

2. A convergent exponential B-spline collocation method for a time-fractional telegraph equation;Computational and Applied Mathematics;2023-02-13

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