Convergence of the binomial tree method for Asian options in jump-diffusion models

DOI10.1016/J.JMAA.2006.07.042zbMATH Open1176.91149OpenAlexW4212889774MaRDI QIDQ874917FDOQ874917

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

zbMATH Keywords

viscosity solutionjump-diffusion modelAsian optionbinomial tree method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• User’s guide to viscosity solutions of second order partial differential equations
• 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 (3)

• The rate of convergence of the binomial tree scheme
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• Analytical binomial lookback options with double-exponential jumps

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