Transforming Arithmetic Asian Option PDE to the Parabolic Equation with Constant Coefficients
نویسندگان
چکیده
منابع مشابه
Transforming Arithmetic Asian Option PDE to the Parabolic Equation with Constant Coefficients
Arithmetic Asian options are difficult to price and hedge, since at present, there is no closed-form analytical solution to price them. Transforming the PDE of the arithmetic the Asian option to a heat equation with constant coefficients is found to be difficult or impossible. Also, the numerical solution of the arithmetic Asian option PDE is not very accurate since the Asian option has low vol...
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ژورنال
عنوان ژورنال: International Journal of Mathematics and Mathematical Sciences
سال: 2011
ISSN: 0161-1712,1687-0425
DOI: 10.1155/2011/401547