An alternating-direction implicit difference scheme for pricing asian options

We propose a fast and stable numerical method to evaluate two-dimensional partial differential equation (pde) for pricing arithmetic average asian options. the numerical method is deduced by combining an alternating-direction technique and the central difference scheme on a piecewise uniform mesh. the numerical scheme is stable in the maximum norm,which is true for arbitrary volatility and arbitrary interest rate. it is proved that the scheme is second-order convergent with respect to the asset price. numerical results support the theoretical results. © 2013 zhongdi cen et al.