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Volume 55, Issue 4
Efficient Spectral-Galerkin Method for Pricing Asian Options

Lina Hu

DOI: 10.4208/jms.v55n4.22.02

J. Math. Study, 55 (2022), pp. 358-380.

Published online: 2022-11

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  • 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.

  • Keywords

Asian option, spectral-Galerkin method, Legendre polynomial, error analysis.

  • AMS Subject Headings

65M70, 65M12

  • Copyright

COPYRIGHT: © Global Science Press

  • Email address

linahu@swjtu.edu.cn (Lina Hu)

  • BibTex
  • RIS
  • TXT
@Article{JMS-55-358, author = {Hu , Lina}, title = {Efficient Spectral-Galerkin Method for Pricing Asian Options}, journal = {Journal of Mathematical Study}, year = {2022}, volume = {55}, number = {4}, pages = {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.

}, issn = {2617-8702}, doi = {https://doi.org/10.4208/jms.v55n4.22.02}, url = {http://global-sci.org/intro/article_detail/jms/21159.html} }
TY - JOUR T1 - Efficient Spectral-Galerkin Method for Pricing Asian Options AU - Hu , Lina JO - Journal of Mathematical Study VL - 4 SP - 358 EP - 380 PY - 2022 DA - 2022/11 SN - 55 DO - http://doi.org/10.4208/jms.v55n4.22.02 UR - https://global-sci.org/intro/article_detail/jms/21159.html KW - Asian option, spectral-Galerkin method, Legendre polynomial, error analysis. AB -

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.

Hu , Lina. (2022). Efficient Spectral-Galerkin Method for Pricing Asian Options. Journal of Mathematical Study. 55 (4). 358-380. doi:10.4208/jms.v55n4.22.02
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