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q-fin.CP2025
Path-dependent option pricing with two-dimensional PDE using MPDATA
Paweł Magnuszewski, Sylwester Arabas
In this paper, we discuss a simple yet robust PDE method for evaluating path-dependent Asian-style options using the non-oscillatory forward-in-time second-order MPDATA finite-diff…
q-fin.CP2016★ 3 cited
Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
Sylwester Arabas, Ahmad Farhat
We discuss in this note applications of the Multidimensional Positive Definite Advection Transport Algorithm (MPDATA) to numerical solutions of partial differential equations arisi…