摘要翻译：
本文提出了算术平均罢工亚式看涨期权定价的标准偏微分方程。导出了求解该定价问题的Crank-Nicolson隐式方法和高阶紧致差分格式。这两个方案都是针对不同的无风险利率和波动率值实施的。在无风险率和波动率相同的情况下，用蒙特卡罗模拟计算了期权价格。两种数值PDE方法的比较结果与Monte Carlo方法的结果非常吻合，其中高阶紧致格式的匹配更好。据我们所知，这是第一个使用数值PDE方法定价平均罢工亚洲看涨期权的工作。
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英文标题：
《Pricing of average strike Asian call option using numerical PDE methods》
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作者：
Abhishek Kumar, Ashwin Waikos and Siddhartha P. Chakrabarty
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is presented. A Crank-Nicolson Implicit Method and a Higher Order Compact finite difference scheme for this pricing problem is derived. Both these schemes were implemented for various values of risk free rate and volatility. The option prices for the same set of values of risk free rate and volatility was also computed using Monte Carlo simulation. The comparative results of the two numerical PDE methods shows close match with the Monte Carlo results, with the Higher Order Compact scheme exhibiting a better match. To the best of our knowledge, this is the first work to use the numerical PDE approach for pricing Asian call options with average strike.
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PDF链接：
https://arxiv.org/pdf/1106.1999