Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4628927 | Applied Mathematics and Computation | 2013 | 9 Pages |
Abstract
⺠We propose a stable finite difference scheme for pricing Asian call options. ⺠The scheme combines a central difference scheme on a moving mesh with Rannacher scheme. ⺠The matrix of the discrete operator is an M-matrix, in ensuring the scheme is stable. ⺠The scheme is second-order convergent in both time and spatial variables.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Zhongdi Cen, Anbo Le, Aimin Xu,