Poisson approximations for time-changed point processes
نویسندگان
چکیده
منابع مشابه
Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
We derive efficient and accurate analytical pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. We extend the conditioning variable approach to derive the lower bound on the Asian option price and construct a sharp upper bound based on the lower bound. We also consider the general partially exact and bounded (PEB) approximations, which incl...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1988
ISSN: 0304-4149
DOI: 10.1016/0304-4149(88)90040-3