Pricing Formula for Power Options with Jump-Diffusion
نویسندگان
چکیده
منابع مشابه
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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...
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ژورنال
عنوان ژورنال: Applied Mathematics & Information Sciences
سال: 2016
ISSN: 1935-0090,2325-0399
DOI: 10.18576/amis/100410