Asian options with jumps

DOI10.1016/J.SPL.2006.05.003MaRDI QIDQ866600zbMATH OpenOpenAlexFDO

Authors Hsien-Jen Lin, Ching-Sung Chou

Publication date 14 February 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.05.003

zbMATH Keywords

resolventBlack-Scholes modelincomplete financial market

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1163909 (Why is no real title available?)
• A partial introduction to financial asset pricing theory.
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
• Pricing contingent claims on stocks driven by Lévy processes
• The value of an Asian option

Cited in

(28)

• Asian options under one-sided Lévy models
• On European and Asian option pricing in the generalized hyperbolic model
• The square-root process and Asian options
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
• Valuing vulnerable geometric Asian options
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
• Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
• Pricing discretely monitored Asian options by maturity randomization
• Pricing Asian options on assets driven by a combined geometric Brownian motion and a geometric compound Poisson process
• Pricing Asian options under a hyper-exponential jump diffusion model
• Asia option pricing based on jump-diffusion prices process
• Equivalence of Asian options in Lévy model
• Asymptotic option pricing under a pure jump process
• Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
• Pricing for geometric average Asian options with time-dependent parameters in the jump-diffusion process
• Pricing Asian options in financial markets using Mellin transforms
• Asian options and meromorphic Lévy processes
• Black-Scholes representation for Asian options
• Asian option as a fixed-point
• Asian options pricing in Hawkes-type jump-diffusion models
• scientific article; zbMATH DE number 2051964 (Why is no real title available?)
• Pricing Asian options for jump diffusion
• Accurate pricing formulas for Asian options with jumps
• scientific article; zbMATH DE number 6496530 (Why is no real title available?)
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• Pricing Asian options with stochastic convenience yield and jumps
• Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump

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