Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices

DOI10.1007/978-3-319-06653-0_20zbMath1325.91053OpenAlexW1685678052MaRDI QIDQ3193137

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Publication date: 15 October 2015

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-06653-0_20

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
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• Efficient, exact algorithms for Asian options with multiresolution lattices
• Approximate option pricing
• An efficient convergent lattice algorithm for European Asian options
• THE GARCH OPTION PRICING MODEL
• Inverses of Vandermonde Matrices
• Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Financial Modelling with Jump Processes
• The value of an Asian option
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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