The discontinuous Galerkin method for discretely observed Asian options

Date
2020
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
John Wiley &amp Sons, Ltd.
Abstract
Description
Subject(s)
American-style options, Asian options, discontinuous Galerkin method, discrete sampling, option pricing, penalty method
Citation
Item identifier
https://dspace.tul.cz/handle/15240/161939
 https://doi.org/10.1002/mma.6160
ISSN
0170-4214
ISBN
Collections