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ArticleA reliable numerical method to price arithmetic Asian options

Walter Mudzimbabwe2012

Article2012

A reliable numerical method to price arithmetic Asian options

Walter Mudzimbabwe · K.C. Patidar · Peter J. Witbooi

21 citations·0/0 files stored·Applied Mathematics and Computation

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Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

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References

1987Stochastic Differential Equations: An Introduction with Applications.2003Monte Carlo Methods in Financial Engineering 1988Theory of Financial Decision Making.2006Stochastic Differential Equations—An Introduction With Applications 1977Options: A Monte Carlo approach 1995The Mathematics of Financial Derivatives 2004Stochastic Calculus for Finance II 1990A pricing method for options based on average asset values

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2013A new hybrid Monte Carlo simulation for Asian options pricing

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Year2012

Typearticle

Published2012-05-28

VenueApplied Mathematics and Computation

ISSN-L0096-3003

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.amc.2012.04.056

openalex_workW1998159671

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