Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option.

Juri D. Kandilarov Daniel Sevcovic

Published in: LSSC (2011)

Keyphrases

numerical methods
differential equations
linear algebra
option pricing
numerical solution
partial differential equations
computer architecture
black scholes
pairwise
finite element method
computer vision
image processing
higher order
parallel computers
finite difference method