Geodesic
ON PRICING AMERICAN AND ASIAN OPTIONS WITH PDE METHODS
Acta mathematica Universitatis Comenianae, Tome 70 (2001) no. 1 
G. H. Meyer. ON  PRICING  AMERICAN  AND  ASIAN  OPTIONS  WITH  PDE METHODS. Acta mathematica Universitatis Comenianae, Tome 70 (2001) no. 1. http://geodesic.mathdoc.fr/item/AMUC_2001_70_1_a8/
@article{AMUC_2001_70_1_a8,
     author = {G. H. Meyer},
     title = {ON  {PRICING}  {AMERICAN}  {AND}  {ASIAN}  {OPTIONS}  {WITH}  {PDE} {METHODS}},
     journal = {Acta mathematica Universitatis Comenianae},
     year = {2001},
     volume = {70},
     number = {1},
     url = {http://geodesic.mathdoc.fr/item/AMUC_2001_70_1_a8/}
}
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Voir la notice de l'article provenant de la source Comenius University

The influence of the analytical properties of the Black-Scholes PDE formulation for American and Asian options on the quality of the numerical solution is discussed. It appears that numerical methods for PDEs are quite robust even when the mathematical formulation is not well posed.