Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process

MaRDI QIDQ3386674zbMATH OpenFDO

Authors M. F. Laham, Siti Nur Iqmal Ibrahim, Adem Kilicman

Publication date 6 January 2021

Full work available at URL https://einspem.upm.edu.my/journal/fullpaper/vol14no1jan/1.%20FARIS%20&%20IQMAL.pdf

zbMATH Keywords

American-Asian optionjump-diffusion processMonte Carlo simulationoption pricing

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Monte Carlo methods (65C05) Numerical integration (65D30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(2)

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