Pricing Asian Option by Solving Black–Scholes PDE Using Gauss–Seidel Method
暂无分享,去创建一个
[1] Emilio Barucci,et al. Some Results on Partial Differential Equations and Asian Options , 2001 .
[2] On the modified arithmetic Asian option equation and its analytical solution , 2011 .
[3] A. Kemna,et al. A pricing method for options based on average asset values , 1990 .
[4] Pierre L'Ecuyer,et al. Efficient Monte Carlo and Quasi - Monte Carlo Option Pricing Under the Variance Gamma Model , 2006, Manag. Sci..
[5] Zieneb Ali Elshegmani,et al. Solving an Asian option PDE via the Laplace transform , 2013 .
[6] Edmond Levy. Pricing European average rate currency options , 1992 .
[7] François Dubois,et al. Efficient Pricing of Asian Options by the PDE Approach , 2004 .
[8] P. Glasserman,et al. Monte Carlo methods for security pricing , 1997 .
[9] L. Rogers,et al. The value of an Asian option , 1995, Journal of Applied Probability.
[10] J. Vecer. A new PDE approach for pricing arithmetic average Asian options , 2001 .
[11] A. Meucci,et al. Pricing discretely monitored Asian options under Levy processes , 2008 .
[12] M. Yor,et al. BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES , 1993 .