Pricing Asian options for jump diffusion
DOI10.1111/J.1467-9965.2010.00426.XzbMATH Open1229.91332OpenAlexW2085043928MaRDI QIDQ3069960FDOQ3069960
Authors: Erhan Bayraktar, Hao Xing 
Publication date: 2 February 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00426.x
Recommendations
jump diffusionspricing Asian optionsan iterative numerical schemeclassical solutions of integro-partial differential equations
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- The value of an Asian option
- Spectral Expansions for Asian (Average Price) Options
- Option pricing when underlying stock returns are discontinuous
- The Mathematics of Financial Derivatives
- Title not available (Why is that?)
- A proof of the smoothness of the finite time horizon American put option for jump diffusions
Cited In (39)
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- Asian options on the harmonic average
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Weakly chained matrices, policy iteration, and impulse control
- IMEX methods for pricing fixed strike Asian options with jump-diffusion models
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Black-Scholes representation for Asian options
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- Asian options and meromorphic Lévy processes
- Asian options with jumps
- Asian option as a fixed-point
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- An alternating-direction implicit difference scheme for pricing Asian options
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- Accurate pricing formulas for Asian options with jumps
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- Singular risk-neutral valuation equations
- Hedging strategies for discretely monitored Asian options under Lévy processes
- Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- The value of an Asian option
- Pricing Asian options under a hyper-exponential jump diffusion model
- Asian options pricing in Hawkes-type jump-diffusion models
- Short maturity conditional Asian options in local volatility models
- Pricing average options under time-changed Lévy processes
- Low-dimensional partial integro-differential equations for high-dimensional Asian options
- A Cox model for gradually disappearing events
- Title not available (Why is that?)
- Title not available (Why is that?)
- Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
- Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries
- Asia option pricing based on jump-diffusion prices process
- Title not available (Why is that?)
- Uniqueness of the Solution to a Difference-Partial Differential Equation for Finance
- Partial differential equations for Asian option prices
- The pricing of Asian options in uncertain volatility model
- Pricing Asian options in a stochastic volatility model with jumps
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