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Two Splitting Methods for a Fixed Strike Asian Option

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Numerical Analysis and Its Applications (NAA 2012)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 8236))

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Abstract

The valuation of Asian Options can often be reduced to the study of initial boundary problems for ultra-parabolic equations. Two splitting methods are used to transform the whole time-dependent problem of a fixed strike Asian option into two unsteady subproblems of a smaller complexity. The first subproblem is a time-dependent convection-diffusion and the finite volume difference method of S. Wang [6] is applied for its discretization. The second one is a transport problem and is approximated by monotone weighted difference schemes. The positivity property of the numerical methods is established. Numerical experiments are discussed.

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References

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Author information

Authors and Affiliations

  1. FMI, University of Sofia, 5, J. Bourchier Blvd., 1164, Sofia, Bulgaria

    Tatiana P. Chernogorova

  2. FNSE, Uiversity of Rousse, Studentska 8 Str., 7017, Rousse, Bulgaria

    Lubin G. Vulkov

Authors
  1. Tatiana P. Chernogorova
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  2. Lubin G. Vulkov
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Editor information

Editors and Affiliations

  1. Institute of Information and Communication Technlogies, Bulgarian Academy of Sciences, Acad. G. Bonchev, Bl25A, 1113, Sofia, Bulgaria

    Ivan Dimov

  2. Department of Applied Analysis, Pázm\’{a}ny P\’{e}ter s\’{e}t\’{a}ny 1/C,, Eötvös Loránd University, 1117, Budapest, Hungary

    István Faragó

  3. University of Rousse, 8 Studentska Str.,, 7017, Rousse, Bulgaria

    Lubin Vulkov

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© 2013 Springer-Verlag Berlin Heidelberg

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Chernogorova, T.P., Vulkov, L.G. (2013). Two Splitting Methods for a Fixed Strike Asian Option. In: Dimov, I., Faragó, I., Vulkov, L. (eds) Numerical Analysis and Its Applications. NAA 2012. Lecture Notes in Computer Science, vol 8236. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-41515-9_22

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  • DOI: https://doi.org/10.1007/978-3-642-41515-9_22

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-41514-2

  • Online ISBN: 978-3-642-41515-9

  • eBook Packages: Computer ScienceComputer Science (R0)

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