PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (Q3069960): Difference between revisions
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| Property / DOI: 10.1111/j.1467-9965.2010.00426.x / rank | |||
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| Property / cites work: A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions / rank | |||
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| Property / cites work: Spectral Expansions for Asian (Average Price) Options / rank | |||
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| Property / cites work: Option pricing when underlying stock returns are discontinuous / rank | |||
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| Property / cites work: Q4386544 / rank | |||
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| Property / cites work: The value of an Asian option / rank | |||
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| Property / cites work: The Mathematics of Financial Derivatives / rank | |||
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| Property / DOI: 10.1111/J.1467-9965.2010.00426.X / rank | |||
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Latest revision as of 09:51, 20 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING ASIAN OPTIONS FOR JUMP DIFFUSION |
scientific article |
Statements
PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (English)
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2 February 2011
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pricing Asian options
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jump diffusions
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an iterative numerical scheme
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classical solutions of integro-partial differential equations
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