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Alternatingdirection implicit upwind finite volume method for pricing Asian options

SUN Peng and ZHAO Wei-dong   

  1. School of Math. and System Science, Shandong Univ., Jinan 250100, Shandong, China
  • Received:2007-03-19 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: ZHAO Wei-dong

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Abstract: The numerical solution for pricing Asian options is considered. Suitable boundary conditions and a type of weighted upwind finite volume scheme together with the related alternating direction implicit schene are proposed. This schene is proved to satisfy the maximum pinciole and the error estimates are also derived.

Key words: upwind method , maximum principle, finite volume method, alternatingdirection splitting, Asian option

CLC Number: 

  • O241.82
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