Average options for jump diffusion models

DOI10.1142/S0217595910002612MaRDI QIDQ3566764zbMATH OpenFDO

Authors Hiroshi Kunita, Takuya Yamada

Publication date 10 June 2010

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0217595910002612

zbMATH Keywords

Girsanov's theorem for jumps processItô's formula for jumps processmathematical finance for jump diffusion processoption pricing for jump diffusion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Option pricing when underlying stock returns are discontinuous

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• Approximate valuation of average options
• A unified approach for the pricing of options relating to averages
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• Path averaged option value criteria for selecting better options
• scientific article; zbMATH DE number 4041570 (Why is no real title available?)
• A Note on Average Rate Options with Discrete Sampling
• Pricing average and spread options under local-stochastic volatility jump-diffusion models

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