PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
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Publication:3069960
DOI10.1111/j.1467-9965.2010.00426.xzbMath1229.91332MaRDI QIDQ3069960
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
jump diffusions; pricing Asian options; an iterative numerical scheme; classical solutions of integro-partial differential equations
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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