Efficient Spectral-Galerkin Method for Pricing Asian Options

Efficient Spectral-Galerkin Method for Pricing Asian Options

Year:    2022

Author:    Lina Hu

Journal of Mathematical Study, Vol. 55 (2022), Iss. 4 : pp. 358–380

Abstract

This paper is concerned with a high order numerical method for evaluating 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 experiments are carried out to demonstrate the efficiency and accuracy of the proposed method.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/jms.v55n4.22.02

Journal of Mathematical Study, Vol. 55 (2022), Iss. 4 : pp. 358–380

Published online:    2022-01

AMS Subject Headings:   

Copyright:    COPYRIGHT: © Global Science Press

Pages:    23

Keywords:    Asian option spectral-Galerkin method Legendre polynomial error analysis.

Author Details

Lina Hu