Finite difference scheme with a moving mesh for pricing Asian options.

Zhongdi Cen Anbo Le Aimin Xu

Published in: Appl. Math. Comput. (2013)

Keyphrases

finite difference
numerical scheme
semi implicit
finite element
numerical analysis
partial differential equations
option pricing
diffusion equation
hamilton jacobi
numerical solution
level set
image processing
black scholes model
markov random field
anisotropic diffusion
finite element methods