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...

Full description

Saved in:
Bibliographic Details
Main Authors: Zhongdi Cen, Anbo Le, Aimin Xu
Format: Article
Language:English
Published: Wiley 2013-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2013/605943
Tags: Add Tag
No Tags, Be the first to tag this record!