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Efficient Pricing of Asian Options by the PDE Approach

Dubois, François and Lelievre, Tony, "Efficient Pricing of Asian Options by the PDE Approach" . Journal of Computational Finance, Vol. 8, No. 2, pp. 55-64, Winter 2004/05 Available at SSRN:

Abstract:

    We consider the partial differential equation (PDE) proposed by Rogers and Shi (1995) and explain the main difficulties encountered in applying standard numerical schemes on this PDE as such. We then propose a scheme that is able to produce accurate results (to at least five decimal places) very quickly (in less than one second on a PC equipped with a 1-GHz Intel Pentium III microprocessor). We compare our approach with the schemes proposed in the literature.
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