Convergence of the binomial tree method for Asian options in jump-diffusion models

DOI10.1016/J.JMAA.2006.07.042MaRDI QIDQ874917zbMATH OpenOpenAlexFDO

Authors Kwang Ik Kim, Xiao-Song Qian

Publication date 10 April 2007

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2006.07.042

zbMATH Keywords

viscosity solutionjump-diffusion modelAsian optionbinomial tree method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 4205918 (Why is no real title available?)
• scientific article; zbMATH DE number 815352 (Why is no real title available?)
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Convergence of binomial tree method for American options
• Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
• Martingales and arbitrage in multiperiod securities markets
• Numerical analysis on binomial tree methods for a jump-diffusion model.
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of nonlinear integro-differential equations

Cited in

(11)

• The rate of convergence of the binomial tree scheme
• Efficient willow tree method for Asian option pricing under Merton jump-diffusion model
• scientific article; zbMATH DE number 1512729 (Why is no real title available?)
• On the binomial tree method and other issues in connection with pricing Bermudan and American options
• Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• Numerical analysis on binomial tree methods for a jump-diffusion model.
• Johnson binomial trees
• Weak convergence of tree methods to price options on defaultable assets
• Analytical binomial lookback options with double-exponential jumps
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options

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