Abstract
An efficient numerical scheme based on exponential B-spline (EBS) functions is developed in this work for numerical solution of Asian option pricing (AOP) problem and dealing with delta values. Convergence and stability of proposed scheme are investigated. Numerical illustrations are performed to demonstrate the efficiency and feasibility of the method and to corroborate the theoretical estimate as well. We examine the effects of volatilities, maturity time and interest rate on option price and delta values. It is shown that the present method for delta values is of second order accuracy in both the spatial and temporal domains. The computed option values are compared with those obtained in Dubois and Lelièvre (2004/2005), Večeř (2001), Zvan et al. (1998) and Thompson (1999). The computational time elapsed for the present method for different values of mesh points are provided. It is shown that the present numerical scheme is accurate for small and large volatilities.
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