Solving an Asian option PDE via the Laplace transform

Zieneb Ali Elshegmani, Rokiah @ Rozita Ahmad

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

Solving the Black-Scholes PDE of the arithmetic Asian options is one of the most difficult problems in financial mathematics. A variety of ways ways have been proposed to address the problem. In this study, we use the PDE approach by presenting an efficient method for pricing a continuous arithmetic Asian option. Using the Laplace transform we reduce the three-dimension partial differential equation of the arithmetic Asian option into a two-dimension ordinary differential equation. Its final analytical solution is presented. We conclude that this method is applicable to all types of arithmetic Asian options.

Original languageEnglish
Pages (from-to)67-69
Number of pages3
JournalScienceAsia
Volume39
Issue numberSUPPL.1
DOIs
Publication statusPublished - Jul 2013

Fingerprint

Asian Options
Laplace transform
Financial Mathematics
Black-Scholes
Pricing
Three-dimension
Two Dimensions
Analytical Solution
Ordinary differential equation
Partial differential equation

Keywords

  • Arithmetic Asian option
  • Partial differential equations

ASJC Scopus subject areas

  • General

Cite this

Solving an Asian option PDE via the Laplace transform. / Elshegmani, Zieneb Ali; Ahmad, Rokiah @ Rozita.

In: ScienceAsia, Vol. 39, No. SUPPL.1, 07.2013, p. 67-69.

Research output: Contribution to journalArticle

Elshegmani, Zieneb Ali ; Ahmad, Rokiah @ Rozita. / Solving an Asian option PDE via the Laplace transform. In: ScienceAsia. 2013 ; Vol. 39, No. SUPPL.1. pp. 67-69.
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