A hybrid finite difference scheme for pricing Asian options.

Zhongdi Cen Aimin Xu Anbo Le

Published in: Appl. Math. Comput. (2015)

Keyphrases

finite difference
numerical scheme
finite element
semi implicit
numerical analysis
numerical solution
option pricing
hamilton jacobi
level set
partial differential equations
black scholes model
higher order
anisotropic diffusion
diffusion equation
finite element methods