scientific article; zbMATH DE number 6531299

DOI10.3969/J.ISSN.1001-4268.2015.02.005MaRDI QIDQ3462860zbMATH OpenFDO

Authors Jianqi Yang

Publication date 15 January 2016

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2015.02.005

zbMATH Keywords

Asian optionsjump-diffusion modelmartingale methodpricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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(15)

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• Pricing Asian options for jump diffusion
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• A numerical solution of the pricing model of Asian options under sub-fractional jump-diffusion process
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