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Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
Comparison Two Numerical Methods American Type of the Floating Strike Asian Option
2011/7/4
We present a numerical approach for solving the free bound-
ary problem for the Black-Scholes equation for pricing American style
of floating strike Asian options. A fixed domain transformation of t...
Early exercise boundary for American type of floating strike Asian option and its numerical approximation
option pricing American-style of Asian options early exercise bound-ary limiting behavior close to expiry
2010/11/3
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jørgensen 2000) by including a continuous divi-dend rate q and a general method of ...