Hello everyone,
I am currently working on pricing an Asian option using the ADI (Alternating Direction Implicit) method, following the guidelines from this article: https://onlinelibrary.wiley.com/doi/10.1155/2013/605943.
I have been trying for several days to get this right, and despite my efforts, I have not achieved any conclusive results. It seems that I have adhered to the protocol described, including the boundary conditions, and I believe the ADI method is correctly implemented. However, the result I am obtaining is drastically different from what I expected. I have attached the graph I obtained in 3D and the graph I should have obtained for comparison. I have also included the code and screenshots of the ADI scheme as attachments.
Has anyone used this method for pricing options and could offer some guidance or insights? Is the ADI method still considered a relevant approach for option pricing in QF?
Thanks for your help!
Serving the Quantitative Finance Community
Asian option pricing using the ADI method
- Attachments
-
Adi method.zip- (498.68 KiB) Downloaded 65 times
Re: Asian option pricing using the ADI method
That doesn't help me much. I don't have an issue with the schematization of the ADI problem—it's correct as it's based on a research article. I simply think something is missing in the programming part
-
- Cuchulainn
- Posts: 22924
- Joined:
Re: Asian option pricing using the ADI method
How do you know the article is correct?That doesn't help me much. I don't have an issue with the schematization of the ADI problem—it's correct as it's based on a research article. I simply think something is missing in the programming part
In industry, a developer must debug his own code.