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摘要翻译：
本文给出了求解美式浮动罢工亚式期权定价的Black-Scholes方程自由边界问题的数值方法。将自由边界问题转化为定义在固定空间域上的抛物型方程。因此，在所得方程中包含了一个非线性时变项。提出了两种新的数值算法。在第一种算法中，采用预测-校正方案。第二种方法是基于牛顿法的。通过计算实验验证了算法的正确性，并进行了讨论。
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英文标题：
《Comparison of Two Numerical Methods for Computation of American Type of
the Floating Strike Asian Option》
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作者：
J. D. Kandilarov and D. Sevcovic
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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：
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain transformation of the free boundary problem into a parabolic equation defined on a fixed spatial domain is performed. As a result a nonlinear time-dependent term is involved in the resulting equation. Two new numerical algorithms are proposed. In the first algorithm a predictor-corrector scheme is used. The second one is based on the Newton method. Computational experiments, confirming the accuracy of the algorithms are presented and discussed.
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PDF链接：
https://arxiv.org/pdf/1106.0020
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