Asian options with jumps
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Publication:866600
DOI10.1016/J.SPL.2006.05.003zbMATH Open1122.91056OpenAlexW2093691065MaRDI QIDQ866600FDOQ866600
Authors: Hsien-Jen Lin, Ching-Sung Chou 
Publication date: 14 February 2007
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2006.05.003
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Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70)
Cites Work
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- Title not available (Why is that?)
- Title not available (Why is that?)
- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
- Pricing contingent claims on stocks driven by Lévy processes
- Title not available (Why is that?)
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- A partial introduction to financial asset pricing theory.
Cited In (24)
- Pricing discretely monitored Asian options by maturity randomization
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
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- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Black-Scholes representation for Asian options
- Pricing Asian options in financial markets using Mellin transforms
- Asian options and meromorphic Lévy processes
- Asian option as a fixed-point
- Pricing Asian options on assets driven by a combined geometric Brownian motion and a geometric compound Poisson process
- Accurate pricing formulas for Asian options with jumps
- Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
- Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
- Pricing Asian options with stochastic convenience yield and jumps
- Asian options under one-sided Lévy models
- Pricing Asian options for jump diffusion
- Pricing Asian options under a hyper-exponential jump diffusion model
- Pricing for geometric average Asian options with time-dependent parameters in the jump-diffusion process
- On European and Asian option pricing in the generalized hyperbolic model
- Title not available (Why is that?)
- The square-root process and Asian options
- Asia option pricing based on jump-diffusion prices process
- Equivalence of Asian options in Lévy model
- Asymptotic option pricing under a pure jump process
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