TVD, WENO and blended BDF discretizations for Asian options

C. W. Oosterlee; J. C. Frisch; F. J. Gaspar

doi:10.1007/s00791-003-0117-9

TVD, WENO and blended BDF discretizations for Asian options

C. W. Oosterlee, J. C. Frisch, F. J. Gaspar

Research output: Contribution to journal › Article › Academic › peer-review

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.

Original language	English
Pages (from-to)	131-138
Number of pages	8
Journal	Computing and Visualization in Science
Volume	6
Issue number	2-3
DOIs	https://doi.org/10.1007/s00791-003-0117-9
Publication status	Published - Mar 2004
Externally published	Yes

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title = "TVD, WENO and blended BDF discretizations for Asian options",

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.",

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AU - Frisch, J. C.

AU - Gaspar, F. J.

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AB - 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.

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TVD, WENO and blended BDF discretizations for Asian options

Abstract

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