Option pricing models are an important part of financial markets worldwide.
The PDE formulation of these models leads to analytical solutions only under very strong
simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices
with an additional path-dependent variable for continuous arithmetic average, we present
a general form of PDE for pricing of Asian option contracts on two assets. Further, we
focus only on one subclass—Asian options with floating strike—and introduce the concept
of the dimensionality reduction with respect to the payoff leading to PDE with two spatial variables. Then the numerical option pricing scheme arising from the discontinuous
Galerkin method is developed and some theoretical results are also mentioned. Finally, the
aforementioned model is supplemented with numerical results on real market data.

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• DG METHOD FOR NUMERICAL PRICING OF MULTI-ASSET ASIAN OPTIONS—THE CASE OF OPTIONS WITH FLOATING STRIKE