Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis


Stable Numerical Methods for PDE Models of Asian Options

Masterarbeit Wirtschaftsmathematik

Master's Thesis in Financial Mathematics, Halmstad University, Sweden





  1. T. Bokes, D. Sevcovic, Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation, Quantitative Finance Papers, 2009.
  2. W. Henao, J.G. Lee, M. Moon, A. Narboni, N. Petrosyan, Numerical Methods for pricing of Asian options,
  3. T.R. Klassen, Simple, Fast, and Flexible Pricing of Asian Options, Journal of Computational Finance 4 (2001), 89-124.
  4. G.H. Meyer, On pricing American and Asian Options with PDE methods, 2001
  5. C.W. Oosterlee, J.C. Frish, F.J. Gaspar, TVD, WENO and blended BDF discretizations for Asian options, 2004.
  6. L. Rogers, Z. Shi, The Value of an Asian Option, Journal of Aplied Probability, 32 (1995), 1077-1088.
  7. R.Zvan, P.A. Forsyth, K.Vetzal, Robust Numerical Methods for PDE Models of Asian Options, J. Comput. Finance 1 (1998), 39-78.

University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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