Kumar, Abhishek; Waikos, Ashwin; Chakrabarty, Siddhartha P. - arXiv.org - 2011
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...