Efficient willow tree method for Asian option pricing under Merton jump-diffusion model

DOI10.11908/J.ISSN.0253-374X.2018.12.020MaRDI QIDQ5196964zbMATH OpenFDO

Authors Yi Yao, Shuaifang Li, Wei Xu

Publication date 20 September 2019

Full work available at URL https://doi.org/10.11908/J.ISSN.0253-374X.2018.12.020

zbMATH Keywords

Asian optionjump-diffusion modelMonte Carlo methodwillow tree method

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(3)

• Efficient willow tree method for European-style and American-style moving average barrier options pricing
• Willow tree method for European and American option pricing under variance Gamma model
• Robust willow tree method under Lévy processes

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