Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching

Published 2016 View Full Article

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Title
Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
Authors
Keywords
Asian option pricing, Regime switching, Lattice Boltzmann methods, Convergence rates and stability, Chapman–Enskog multi-scale expansion
Journal
COMPUTERS & MATHEMATICS WITH APPLICATIONS
Volume 71, Issue 7, Pages 1448-1463
Publisher
Elsevier BV
Online
2016-03-04
DOI
10.1016/j.camwa.2016.02.019

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