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.