Dear all
I am reading the paper http://www.math.ku.dk/~hugger/articles/CTAC2003.pdf
My question is : if I want to use a finite difference method solve for a fixed strike Asian option V in the equation (1) ( of the above paper)
then what is the initial value of the average I should choose ? ( i.e what is A_0: the initial value of the average)
thanks for your time
I am reading the paper http://www.math.ku.dk/~hugger/articles/CTAC2003.pdf
My question is : if I want to use a finite difference method solve for a fixed strike Asian option V in the equation (1) ( of the above paper)
then what is the initial value of the average I should choose ? ( i.e what is A_0: the initial value of the average)
thanks for your time
