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

People Research Publications Teaching

---

Numerical Analysis of Asian Average Rate Options
with the Possibility of Early Execution

Masterarbeit Wirtschaftsmathematik

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

Supervision

• Prof. Dr. Matthias Ehrhardt

Description

Keywords

References:

1. W. Henao, J.G. Lee, M. Moon, A. Narboni, N. Petrosyan, Numerical Methods for pricing of Asian options,
2. G.H. Meyer, On pricing American and Asian Options with PDE methods, 2001
3. C.W. Oosterlee, J.C. Frish, F.J. Gaspar, TVD, WENO and blended BDF discretizations for Asian options, 2004.
4. R.Zvan, P.A. Forsyth, K.Vetzal, Robust Numerical Methods for PDE Models of Asian Options, J. Comput. Finance 1 (1998) 39-78.