Price of Asian Option by Operator Splitting Methods

摘要：

The aim of this paper is to explore the pricing of Asian option by operator splitting methods. The associate partial differential equation(PDE) is a multi-dimensional problem. It is not well adapted to solution with simple numerical methods. So we split the PDE into two separate PDEs,one of which is the Black-Scholes equation. Then we introduce QUICK schemes to calculate both the Black-Scholes equation and Asian option PDE based on the splitting methods.

关键词： asian option operator splitting methods QUICK scheme

作者: Huadong Zhang Yulian Fan

作者单位: Department of Sciences, North China University of Technology, Beijing, 100144, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 421-424

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）