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Semi-Lagrange Time Integration for PDE Models of Asian Options

  • Conference paper
Progress in Industrial Mathematics at ECMI 2004

Part of the book series: Mathematics in Industry ((TECMI,volume 8))

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Summary

Semi-Lagrange time integration is used with the finite difference method to provide accurate stable prices for Asian options, with or without early exercise. These are combined with coordinate transformations for computational efficiency and compared with published results.

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References

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Author information

Authors and Affiliations

  1. University of Greenwich, 30 Park Row, London, SE10 9LS, UK

    A.K. Parrott & S. Rout

Authors
  1. A.K. Parrott
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  2. S. Rout
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Editor information

Editors and Affiliations

  1. Department of Mathematics and Computer Science, Technische Universiteit Eindhoven, Postbus 513, 5600 MB, Eindhoven, The Netherlands

    A. Di Bucchianico , R.M.M. Mattheij  & M.A. Peletier ,  & 

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© 2006 Springer-Verlag Berlin Heidelberg

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Parrott, A., Rout, S. (2006). Semi-Lagrange Time Integration for PDE Models of Asian Options. In: Di Bucchianico, A., Mattheij, R., Peletier, M. (eds) Progress in Industrial Mathematics at ECMI 2004. Mathematics in Industry, vol 8. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-28073-1_68

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