Pricing Asian power options under jump-fraction process
نویسندگان
چکیده
منابع مشابه
Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model (HEM). Similar results are only available previously in the special case of the Black-Scholes model (BSM). Even in the case of the BSM, our approach is simpler as we essentially use only Itô’s formula and do not need more advanced results such as those of Bessel pr...
متن کاملPricing Asian Options under a General Jump Diffusion Model
We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model (HEM). Similar results are only available previously in the special case of Black-Scholes model (BSM). Even in the case of BSM, our approach is simpler as we essentially use only the Ito's formula and do not need more advanced results such as those of Bessel proces...
متن کاملPricing Asian Options for Jump Diffusions
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. We show that each of the element in this sequence is the unique classical solutions of a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast n...
متن کاملPricing Asian Options for Jump Diffusion
We construct a sequence of functions that uniformly converge (on compact sets) to the price of an Asian option, which is written on a stock whose dynamics follow a jump diffusion. The convergence is exponentially fast. We show that each element in this sequence is the unique classical solution of a parabolic partial differential equation (not an integro-differential equation). As a result we ob...
متن کاملJa n 20 08 Pricing Asian Options for Jump Diffusions ∗ †
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence solves a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accurac...
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ژورنال
عنوان ژورنال: Journal of Economics Finance and Administrative Science
سال: 2012
ISSN: 2077-1886
DOI: 10.1016/s2077-1886(12)70002-1