A 2D advection formulation with the MPDATA scheme prices fixed-strike arithmetic-average Asian options and matches Monte Carlo and benchmark values.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.CP 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Path-dependent option pricing with two-dimensional PDE using MPDATA
A 2D advection formulation with the MPDATA scheme prices fixed-strike arithmetic-average Asian options and matches Monte Carlo and benchmark values.