Convergence of the binomial tree method for Asian options in jump-diffusion models
DOI10.1016/J.JMAA.2006.07.042zbMATH Open1176.91149OpenAlexW4212889774MaRDI QIDQ874917FDOQ874917
Authors: Kwang Ik Kim, Xiao-Song Qian 
Publication date: 10 April 2007
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.07.042
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Cites Work
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- Option pricing when underlying stock returns are discontinuous
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- Option pricing: A simplified approach
- Viscosity solutions of nonlinear integro-differential equations
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Convergence of binomial tree method for American options
Cited In (10)
- The rate of convergence of the binomial tree scheme
- Title not available (Why is that?)
- On the binomial tree method and other issues in connection with pricing Bermudan and American options
- Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Johnson binomial trees
- Weak convergence of tree methods to price options on defaultable assets
- Analytical binomial lookback options with double-exponential jumps
- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
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