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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2019.1
- 수록면
- 59 - 66 (8page)
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In this paper we study implicit-explicit(IMEX)methods combined with a semi-Lagrangian scheme to evaluate the prices of fixed strike arithmetic Asian options under jump-diffusion models. An Asian op- tion is described by a two-dimensional partial integro-differential equation (PIDE) that has no diffusion term in the arithmetic average direction. The IMEX methods with the semi-Lagrangian scheme to solve the PIDE are discretized along characteristic curves and performed without any fixed point iteration techniques at each time step. We implement numerical simulations for the prices of a European fixed strike arithmetic Asian put option under the Merton model to demonstrate the second-order conver- gence rate.
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참고문헌 (10)
참고문헌 신청
B. Alziary / 1997 / A P.D.E. approach to Asian options:analytical and numerical evidence / J. Bank Financ 21:613~640
E. Bayraktar / 2011 / Pricing Asian options for jump diffiusion / Math. Financ 21:117~143
Z. Cen / 2013 / Finite diffierence scheme with a moving mesh for pricing Asian options / Appl. Math. Comput 219:8667~8675
P. A. Forsyth / 2002 / Convergence of numerical methods for valuing path-dependent options using interpolation / Rev. Deriv. Res 5:273~314
Y. d'Halluin / 2005 / A semi-Lagrangian approach for Amer-ican Asian options under jump diffiusion / SIAM J. Sci. Comput. 27:315~345
E. Bayraktar / 2011 / Pricing Asian options for jump diffiusion / Math. Financ 21:117~143
Z. Cen / 2013 / Finite diffierence scheme with a moving mesh for pricing Asian options / Appl. Math. Comput 219:8667~8675
P. A. Forsyth / 2002 / Convergence of numerical methods for valuing path-dependent options using interpolation / Rev. Deriv. Res 5:273~314
Y. d'Halluin / 2005 / A semi-Lagrangian approach for Amer-ican Asian options under jump diffiusion / SIAM J. Sci. Comput. 27:315~345
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