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Contributed Papers

Contributed Paper Session II-5 #3

Subevent of Contributed Paper Session II-5

Phillips 221

Eastern Time (US & Canada)

Starts at: 2025-03-01 10:40AM

Ends at: 2025-03-01 10:55AM

PRICING OF ASIAN OPTION USING FINITE DIFFERENCE METHOD

Michael Kipngeno ⟨mkipngeno@my.apsu.edu⟩

Abstract:

This study employs a numerical method for pricing Asian options using the finite difference methods. It approximates the partial differential equation. The price of the option price is obtained by discretizing the underlying asset price and time dimensions into a grid, allowing for the calculation of the option value based on the average price of the underlying asset over a specified period. This provides a robust and flexible tool for evaluating complex Asian option structures. 

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