On the valuation of Asian options by variational methods

SIAM Journal on Scientific Computing

Volumn 24, Issue 4, 2003, Pages 1124-1140

  Marcozzi, Michael D ^a  

^a UNIVERSITY OF NEVADA   (United States)

Author keywords

Asian options; Optimal stopping; Ultraparabolic operators

Indexed keywords

APPROXIMATION THEORY; COMPUTATIONAL METHODS; CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL OPERATORS; PERTURBATION TECHNIQUES; VARIATIONAL TECHNIQUES;

ULTRAPARABOLIC OPERATORS;

STOCHASTIC CONTROL SYSTEMS;

EID: 0042931334     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1064827501388169     Document Type: Article

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