The discontinuous Galerkin method for discretely observed Asian options

Asian options represent an important subclass of the path‐dependent contracts that are identified by payoff depending on the average of the underlying asset prices over the prespecified period of option lifetime. Commonly, this average is observed at discrete dates, and also, early exercise features...

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Veröffentlicht in:	Mathematical methods in the applied sciences 2020-09, Vol.43 (13), p.7726-7746
Hauptverfasser:	Hozman, Jiří, Tichý, Tomáš
Format:	Artikel
Sprache:	eng
Schlagworte:	American‐style options Asian options discontinuous Galerkin method discrete sampling Empirical equations Galerkin method Mathematical analysis option pricing penalty method Polynomials Pricing Robustness (mathematics) Sampling
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