Pricing Asian options for jump diffusion (Q3069960)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5843570
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing Asian options for jump diffusion |
scientific article; zbMATH DE number 5843570 |
Statements
PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (English)
0 references
2 February 2011
0 references
pricing Asian options
0 references
jump diffusions
0 references
an iterative numerical scheme
0 references
classical solutions of integro-partial differential equations
0 references
0 references
0.865302562713623
0 references
0.8618966341018677
0 references
0.8591091632843018
0 references
