Price of Asian Option by Operator Splitting Methods

The aim of this paper is to explore the pricing of Asian option by operator splitting methods. The associate partial differential equation(PDE) is a multi-dimensional problem. It is not well adapted to solution with simple numerical methods. So we split the PDE into two separate PDEs, one of which is the Black-Scholes equation. Then we introduce QUICK schemes to calculate both the Black-Scholes equation and Asian option PDE based on the splitting methods.