PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

DOI10.1111/j.1467-9965.2010.00426.xzbMath1229.91332OpenAlexW2085043928MaRDI QIDQ3069960

Hao Xing, Erhan Bayraktar

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

zbMATH Keywords

jump diffusionspricing Asian optionsan iterative numerical schemeclassical solutions of integro-partial differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (18)

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ Short maturity conditional Asian options in local volatility models ⋮ Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ A Cox model for gradually disappearing events ⋮ Hedging strategies for discretely monitored Asian options under Lévy processes ⋮ The pricing of Asian options in uncertain volatility model ⋮ A comparison of iterated optimal stopping and local policy iteration for American options under regime switching ⋮ Pricing average options under time-changed Lévy processes ⋮ Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space ⋮ Asian options and meromorphic Lévy processes ⋮ Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Weakly Chained Matrices, Policy Iteration, and Impulse Control ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Asian options on the harmonic average ⋮ IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models ⋮ BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS

Cites Work

• Unnamed Item
• A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
• The Mathematics of Financial Derivatives
• The value of an Asian option
• Spectral Expansions for Asian (Average Price) Options
• Option pricing when underlying stock returns are discontinuous

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