On the valuation of Asian options by variational methods

被引：25

作者：

Marcozzi, MD ^{[1
]}

机构：

[1] Univ Nevada, Dept Math Sci, Las Vegas, NV 89154 USA

来源：

SIAM JOURNAL ON SCIENTIFIC COMPUTING | 2003年 / 24卷 / 04期

关键词：

optimal stopping; Asian options; ultraparabolic operators;

D O I：

10.1137/S1064827501388169

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider the valuation of Asian options by variational methods; in particular, the value function is seen to satisfy an ultraparabolic variational inequality. A theoretical framework is developed as is a numerical analysis of a finite element implementation. Computations are presented that validate the applicability and efficiency of the method.

引用

页码：1124 / 1140

页数：17

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