Asian option finite difference
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Numerical Algorithm for Delta of Asian Option
22 Dec This paper focus on the point that using Finite-difference method to solve the Keywords: Asian Option; finite-difference methods, numerical.
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PDE. The two-dimensional PDE for a oating strike Asian option can be reduced to a Section 3 presents a discretization analysis for finite difference methods.
Description:This is an open access article distributed under the Creative Commons Attribution License , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Abstract We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of of Asian geometric option and use this analytical form as a control to numerically calculate of Asian arithmetic option, which is known to have no explicit close form solution.