ACTA MATHEMATICA UNIVERSITATIS COMENIANAE

Vol. 70,   1   (2001)
pp.   153-165

ON PRICING AMERICAN AND ASIAN OPTIONS WITH PDE METHODS
G. H. MEYER


Abstract.  The influence of the analytical properties of the Black-Scholes PDE formulation for American and Asian options on the quality of the numerical solution is discussed. It appears that numerical methods for PDEs are quite robust even when the mathematical formulation is not well posed.

AMS subject classification.  Primary 65M06, 91B24
Keywords

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Acta Mathematica Universitatis Comenianae
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