An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td align="left"><span style="width: 50.087502px;"><svg height="11.175" id="M188" style="vertical-align:-0.0pt" version="1.1" viewbox="0 0 50.087502 11.175" width="50.087502" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.113)"><path d="M998 650l-8 -28q-71 -4 -86 -16t-22 -69l-50 -397q-3 -28 -4.5 -44t2 -29t6.5 -18.5t17 -10.5t24.5 -6.5t37.5 -3.5l-8 -28h-271l7 28q63 6 78 22t25 90l60 415h-2l-353 -552h-23l-130 536h-2l-70 -254q-44 -158 -47 -188q-5 -38 9 -51t71 -18l-6 -28h-241l8 28
q45 4 67 18.5t35 45.5q16 38 74 233l52 173q24 79 11.5 98t-89.5 26l6 28h177l136 -508l337 508h172z" id="x1D440"></path></g><g transform="matrix(.017,-0,0,-.017,22.127,11.113)"><path d="M535 323h-483v50h483v-50zM535 138h-483v50h483v-50z" id="x3D"></path></g><g transform="matrix(.017,-0,0,-.017,36.831,11.113)"><path d="M764 650l-7 -26q-61 -10 -91.5 -22.5t-76.5 -48.5l-235 -184q104 -152 208 -276q31 -37 54.5 -48.5t68.5 -16.5l-7 -28h-156q-138 170 -213 284q-19 29 -33.5 35t-33.5 -7l-29 -173q-15 -75 -5.5 -90.5t74.5 -20.5l-5 -28h-260l7 28q58 5 74 21.5t30 89.5l70 378
q12 68 2 83t-72 22l6 28h257l-7 -28q-62 -7 -76 -21.5t-27 -83.5l-32 -172q29 11 78 46q112 84 217 179q18 16 23.5 25.5t-1 14.5t-26.5 8l-30 4l5 28h249z" id="x1D43E"></path></g>
</svg></span></td><td align="center"><span style="width: 14.9875px;"><svg height="11.3125" id="M189" style="vertical-align:-0.1092pt" version="1.1" viewbox="0 0 14.9875 11.3125" width="14.9875" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.113)"><path d="M857 650l-6 -28q-44 -4 -61.5 -16.5t-29.5 -48.5q-11 -32 -37 -166l-78 -399h-29l-351 537h-4l-56 -276q-24 -120 -24 -164q0 -35 17.5 -46t75.5 -15l-6 -28h-245l7 28q41 2 62 14t31 44q10 30 41 171l53 245q8 44 6.5 60.5t-14.5 33.5q-10 15 -27 19.5t-64 6.5l6 28h153
l350 -516h5l48 257q25 131 25 171q0 34 -17.5 45t-77.5 15l7 28h240z" id="x1D441"></path></g>
</svg></span></td><td align="center">  Error  </td><td align="center">  Rate  </td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td align="left"> 512 </td><td align="center"> 64 </td><td align="center"><span style="width: 77.525002px;"><svg height="11.125" id="M190" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 77.525002 11.125" width="77.525002" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,10.862)"><path d="M249 635q70 0 116 -43t46 -105q0 -46 -28 -80q-22 -25 -80 -64q62 -35 97 -75t35 -99q0 -81 -63 -131t-135 -50q-83 0 -137.5 45.5t-54.5 123.5q0 52 45 95q29 28 89 64q-109 62 -109 155q0 66 50.5 115t128.5 49zM238 603q-42 0 -67.5 -31t-25.5 -72q0 -50 32.5 -79.5
t98.5 -62.5q61 48 61 124q0 59 -29.5 90t-69.5 31zM248 20q46 0 76.5 33.5t30.5 89.5q0 50 -39 85.5t-110 71.5q-81 -54 -81 -137q0 -67 35.5 -105t87.5 -38z" id="x38"></path></g><g transform="matrix(.017,-0,0,-.017,8.222,10.862)"><path d="M113 -12q-24 0 -39.5 16t-15.5 42q0 24 16 40.5t40 16.5t40 -16.5t16 -40.5q0 -26 -16 -42t-41 -16z" id="x2E"></path></g><g transform="matrix(.017,-0,0,-.017,12.098,10.862)"><path d="M241 635q53 0 94 -28.5t63.5 -76t33.5 -102.5t11 -116q0 -58 -11 -112.5t-34 -103.5t-63.5 -78.5t-94.5 -29.5t-95 28t-64.5 75t-34.5 102.5t-11 118.5q0 58 11.5 112.5t34.5 103t64.5 78t95.5 29.5zM238 602q-32 0 -55.5 -25t-35.5 -68t-17.5 -91t-5.5 -105
q0 -76 10 -138.5t37 -107.5t69 -45q32 0 55.5 25t35.5 68.5t17.5 91.5t5.5 105t-5.5 105.5t-18 92t-36 68t-56.5 24.5z" id="x30"></path></g><g transform="matrix(.017,-0,0,-.017,20.257,10.862)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.017,-0,0,-.017,28.416,10.862)"><path d="M456 178h-96v-72q0 -51 12.5 -62.5t72.5 -16.5v-27h-256v27q65 5 78 17t13 62v72h-260v28q182 271 300 426h40v-407h96v-47zM280 225v295h-2q-107 -148 -196 -295h198z" id="x34"></path></g><g transform="matrix(.017,-0,0,-.017,36.576,10.862)"><path d="M447 623l8 -12l-283 -613l-74 -10l-7 11q174 283 297 551h-216q-48 0 -62.5 -12t-33.5 -63h-29q10 60 18 148h382z" id="x37"></path></g><g transform="matrix(.017,-0,0,-.017,44.735,10.862)"><path d="M391 364q0 -28 -20.5 -53.5t-50 -43.5t-70 -34t-73.5 -25t-68 -17v-29q0 -48 20 -81t65 -33q73 0 157 76l16 -23q-107 -113 -221 -113q-21 0 -40.5 6.5t-39 22t-31.5 47t-12 75.5q0 69 33.5 139.5t95.5 114.5q77 55 143 55q42 0 69 -24.5t27 -59.5zM313 350
q0 26 -14.5 40.5t-37.5 14.5q-32 0 -44 -7q-82 -46 -104 -175q200 49 200 127z" id="x1D452"></path></g><g transform="matrix(.017,-0,0,-.017,55.546,10.862)"><path d="M535 230h-483v50h483v-50z" id="x2212"></path></g><g transform="matrix(.017,-0,0,-.017,69.298,10.862)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g>
</svg></span></td><td align="center">   —   </td></tr><tr><td align="left"> </td><td align="center"> 128 </td><td align="center"><span style="width: 77.525002px;"><svg height="11.175" id="M191" style="vertical-align:-0.20474pt" version="1.1" viewbox="0 0 77.525002 11.175" width="77.525002" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,10.862)"><path d="M285 378v-2q65 -13 102 -54.5t37 -97.5q0 -57 -30.5 -104.5t-74 -75t-85.5 -42t-72 -14.5q-31 0 -59.5 11t-40.5 23q-19 18 -16 36q1 16 23 33q13 10 24 0q58 -51 124 -51q55 0 88 40t33 112q0 64 -39 96.5t-88 32.5q-29 0 -64 -11l-6 29q77 25 118 57.5t41 84.5
q0 45 -26.5 69.5t-68.5 24.5q-67 0 -120 -79l-20 20l43 63q51 56 127 56h1q66 0 107 -37t41 -95q0 -42 -31 -71q-22 -23 -68 -54z" id="x33"></path></g><g transform="matrix(.017,-0,0,-.017,8.222,10.862)"><path d="M113 -12q-24 0 -39.5 16t-15.5 42q0 24 16 40.5t40 16.5t40 -16.5t16 -40.5q0 -26 -16 -42t-41 -16z" id="x2E"></path></g><g transform="matrix(.017,-0,0,-.017,12.098,10.862)"><path d="M244 635q90 0 143 -72t53 -177q0 -133 -65 -229.5t-171 -139.5q-79 -32 -140 -32l-5 30q109 18 185 91t101 186l-68 -36q-29 -16 -60 -16q-79 0 -129 51.5t-50 130.5q0 80 57 146.5t149 66.5zM228 602q-52 0 -78 -45.5t-26 -98.5q0 -69 36.5 -115.5t97.5 -46.5
q53 0 90 28q4 31 4 66q0 51 -9.5 95.5t-39 80.5t-75.5 36z" id="x39"></path></g><g transform="matrix(.017,-0,0,-.017,20.257,10.862)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.017,-0,0,-.017,28.416,10.862)"><path d="M241 635q53 0 94 -28.5t63.5 -76t33.5 -102.5t11 -116q0 -58 -11 -112.5t-34 -103.5t-63.5 -78.5t-94.5 -29.5t-95 28t-64.5 75t-34.5 102.5t-11 118.5q0 58 11.5 112.5t34.5 103t64.5 78t95.5 29.5zM238 602q-32 0 -55.5 -25t-35.5 -68t-17.5 -91t-5.5 -105
q0 -76 10 -138.5t37 -107.5t69 -45q32 0 55.5 25t35.5 68.5t17.5 91.5t5.5 105t-5.5 105.5t-18 92t-36 68t-56.5 24.5z" id="x30"></path></g><g transform="matrix(.017,-0,0,-.017,36.576,10.862)"><path d="M285 378v-2q65 -13 102 -54.5t37 -97.5q0 -57 -30.5 -104.5t-74 -75t-85.5 -42t-72 -14.5q-31 0 -59.5 11t-40.5 23q-19 18 -16 36q1 16 23 33q13 10 24 0q58 -51 124 -51q55 0 88 40t33 112q0 64 -39 96.5t-88 32.5q-29 0 -64 -11l-6 29q77 25 118 57.5t41 84.5
q0 45 -26.5 69.5t-68.5 24.5q-67 0 -120 -79l-20 20l43 63q51 56 127 56h1q66 0 107 -37t41 -95q0 -42 -31 -71q-22 -23 -68 -54z" id="x33"></path></g><g transform="matrix(.017,-0,0,-.017,44.735,10.862)"><path d="M391 364q0 -28 -20.5 -53.5t-50 -43.5t-70 -34t-73.5 -25t-68 -17v-29q0 -48 20 -81t65 -33q73 0 157 76l16 -23q-107 -113 -221 -113q-21 0 -40.5 6.5t-39 22t-31.5 47t-12 75.5q0 69 33.5 139.5t95.5 114.5q77 55 143 55q42 0 69 -24.5t27 -59.5zM313 350
q0 26 -14.5 40.5t-37.5 14.5q-32 0 -44 -7q-82 -46 -104 -175q200 49 200 127z" id="x1D452"></path></g><g transform="matrix(.017,-0,0,-.017,55.546,10.862)"><path d="M535 230h-483v50h483v-50z" id="x2212"></path></g><g transform="matrix(.017,-0,0,-.017,69.298,10.862)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g>
</svg></span></td><td align="center"> 1.035 </td></tr><tr><td align="left"> </td><td align="center"> 256 </td><td align="center"><span style="width: 77.525002px;"><svg height="11.125" id="M192" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 77.525002 11.125" width="77.525002" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,10.862)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.017,-0,0,-.017,8.222,10.862)"><path d="M113 -12q-24 0 -39.5 16t-15.5 42q0 24 16 40.5t40 16.5t40 -16.5t16 -40.5q0 -26 -16 -42t-41 -16z" id="x2E"></path></g><g transform="matrix(.017,-0,0,-.017,12.098,10.862)"><path d="M241 635q53 0 94 -28.5t63.5 -76t33.5 -102.5t11 -116q0 -58 -11 -112.5t-34 -103.5t-63.5 -78.5t-94.5 -29.5t-95 28t-64.5 75t-34.5 102.5t-11 118.5q0 58 11.5 112.5t34.5 103t64.5 78t95.5 29.5zM238 602q-32 0 -55.5 -25t-35.5 -68t-17.5 -91t-5.5 -105
q0 -76 10 -138.5t37 -107.5t69 -45q32 0 55.5 25t35.5 68.5t17.5 91.5t5.5 105t-5.5 105.5t-18 92t-36 68t-56.5 24.5z" id="x30"></path></g><g transform="matrix(.017,-0,0,-.017,20.257,10.862)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.017,-0,0,-.017,28.416,10.862)"><path d="M285 378v-2q65 -13 102 -54.5t37 -97.5q0 -57 -30.5 -104.5t-74 -75t-85.5 -42t-72 -14.5q-31 0 -59.5 11t-40.5 23q-19 18 -16 36q1 16 23 33q13 10 24 0q58 -51 124 -51q55 0 88 40t33 112q0 64 -39 96.5t-88 32.5q-29 0 -64 -11l-6 29q77 25 118 57.5t41 84.5
q0 45 -26.5 69.5t-68.5 24.5q-67 0 -120 -79l-20 20l43 63q51 56 127 56h1q66 0 107 -37t41 -95q0 -42 -31 -71q-22 -23 -68 -54z" id="x33"></path></g><g transform="matrix(.017,-0,0,-.017,36.576,10.862)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g><g transform="matrix(.017,-0,0,-.017,44.735,10.862)"><path d="M391 364q0 -28 -20.5 -53.5t-50 -43.5t-70 -34t-73.5 -25t-68 -17v-29q0 -48 20 -81t65 -33q73 0 157 76l16 -23q-107 -113 -221 -113q-21 0 -40.5 6.5t-39 22t-31.5 47t-12 75.5q0 69 33.5 139.5t95.5 114.5q77 55 143 55q42 0 69 -24.5t27 -59.5zM313 350
q0 26 -14.5 40.5t-37.5 14.5q-32 0 -44 -7q-82 -46 -104 -175q200 49 200 127z" id="x1D452"></path></g><g transform="matrix(.017,-0,0,-.017,55.546,10.862)"><path d="M535 230h-483v50h483v-50z" id="x2212"></path></g><g transform="matrix(.017,-0,0,-.017,69.298,10.862)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g>
</svg></span></td><td align="center"> 1.948 </td></tr><tr><td align="left"> </td><td align="center"> 512 </td><td align="center"><span style="width: 77.525002px;"><svg height="11.125" id="M193" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 77.525002 11.125" width="77.525002" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,10.862)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g><g transform="matrix(.017,-0,0,-.017,8.222,10.862)"><path d="M113 -12q-24 0 -39.5 16t-15.5 42q0 24 16 40.5t40 16.5t40 -16.5t16 -40.5q0 -26 -16 -42t-41 -16z" id="x2E"></path></g><g transform="matrix(.017,-0,0,-.017,12.098,10.862)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.017,-0,0,-.017,20.257,10.862)"><path d="M241 635q53 0 94 -28.5t63.5 -76t33.5 -102.5t11 -116q0 -58 -11 -112.5t-34 -103.5t-63.5 -78.5t-94.5 -29.5t-95 28t-64.5 75t-34.5 102.5t-11 118.5q0 58 11.5 112.5t34.5 103t64.5 78t95.5 29.5zM238 602q-32 0 -55.5 -25t-35.5 -68t-17.5 -91t-5.5 -105
q0 -76 10 -138.5t37 -107.5t69 -45q32 0 55.5 25t35.5 68.5t17.5 91.5t5.5 105t-5.5 105.5t-18 92t-36 68t-56.5 24.5z" id="x30"></path></g><g transform="matrix(.017,-0,0,-.017,28.416,10.862)"><path d="M241 635q53 0 94 -28.5t63.5 -76t33.5 -102.5t11 -116q0 -58 -11 -112.5t-34 -103.5t-63.5 -78.5t-94.5 -29.5t-95 28t-64.5 75t-34.5 102.5t-11 118.5q0 58 11.5 112.5t34.5 103t64.5 78t95.5 29.5zM238 602q-32 0 -55.5 -25t-35.5 -68t-17.5 -91t-5.5 -105
q0 -76 10 -138.5t37 -107.5t69 -45q32 0 55.5 25t35.5 68.5t17.5 91.5t5.5 105t-5.5 105.5t-18 92t-36 68t-56.5 24.5z" id="x30"></path></g><g transform="matrix(.017,-0,0,-.017,36.576,10.862)"><path d="M447 623l8 -12l-283 -613l-74 -10l-7 11q174 283 297 551h-216q-48 0 -62.5 -12t-33.5 -63h-29q10 60 18 148h382z" id="x37"></path></g><g transform="matrix(.017,-0,0,-.017,44.735,10.862)"><path d="M391 364q0 -28 -20.5 -53.5t-50 -43.5t-70 -34t-73.5 -25t-68 -17v-29q0 -48 20 -81t65 -33q73 0 157 76l16 -23q-107 -113 -221 -113q-21 0 -40.5 6.5t-39 22t-31.5 47t-12 75.5q0 69 33.5 139.5t95.5 114.5q77 55 143 55q42 0 69 -24.5t27 -59.5zM313 350
q0 26 -14.5 40.5t-37.5 14.5q-32 0 -44 -7q-82 -46 -104 -175q200 49 200 127z" id="x1D452"></path></g><g transform="matrix(.017,-0,0,-.017,55.546,10.862)"><path d="M535 230h-483v50h483v-50z" id="x2212"></path></g><g transform="matrix(.017,-0,0,-.017,69.298,10.862)"><path d="M285 378v-2q65 -13 102 -54.5t37 -97.5q0 -57 -30.5 -104.5t-74 -75t-85.5 -42t-72 -14.5q-31 0 -59.5 11t-40.5 23q-19 18 -16 36q1 16 23 33q13 10 24 0q58 -51 124 -51q55 0 88 40t33 112q0 64 -39 96.5t-88 32.5q-29 0 -64 -11l-6 29q77 25 118 57.5t41 84.5
q0 45 -26.5 69.5t-68.5 24.5q-67 0 -120 -79l-20 20l43 63q51 56 127 56h1q66 0 107 -37t41 -95q0 -42 -31 -71q-22 -23 -68 -54z" id="x33"></path></g>
</svg></span></td><td align="center"> 2.270 </td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Numerical results for Test <a href="https://static-preview.hindawi.com/articles/jam/volume-2013/605943/figures/#test1">1</a>.

Journal of Applied Mathematics

tab2

Table 2

Table 2: An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options 