典型文献
Efficient Spectral-Galerkin Method for Pricing Asian Options
文献摘要：
This paper is concerned with a high order numerical method for evaluat-ing the prices of Asian options with fixed strike price.We apply Legendre-Galerkin spectral method for spatial discretization and Crank-Nicholson scheme for temporal discretization.We prove that the scheme is stable for the time discretization,second order accurate in time,and exponential order convergence in space.Numerical ex-periments are carried out to demonstrate the efficiency and accuracy of the proposed method.
文献关键词：
中图分类号：
作者姓名：
Lina Hu
作者机构：
School of Mathematics,Southwest Jiaotong University,Chengdu 611756,China
文献出处：
引用格式：
[1]Lina Hu-.Efficient Spectral-Galerkin Method for Pricing Asian Options)[J].数学研究（英文）,2022(04):358-380
A类：
Nicholson
B类：
Efficient,Spectral,Galerkin,Method,Pricing,Asian,Options,This,paper,concerned,high,order,numerical,method,evaluat,prices,options,fixed,strike,We,apply,Legendre,spectral,spatial,discretization,Crank,scheme,temporal,prove,that,stable,second,accurate,exponential,convergence,space,Numerical,periments,are,carried,out,demonstrate,efficiency,accuracy,proposed
AB值：
0.641383
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