A 2D advection formulation with the MPDATA scheme prices fixed-strike arithmetic-average Asian options and matches Monte Carlo and benchmark values.
A critique of the Crank-Nicolson scheme, strengths and weaknesses for financial instrument pricing
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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.