Pricing Asian Options for Jump Diffusions

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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 differen- tial equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accuracy versus speed characteristics can be controlled. We analyze the performance of our numerical algorithm on several examples.
Key Words: Pricing Asian Options, Jump diffusions, an Iterative Numerical Scheme, Classical Solutions of Integro-PDEs

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Computational Engineering, Finance, and Science

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http://salesiana.dossiersoluciones.com/handle/123456789/172550

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0707.2432
 http://arxiv.org/abs/0707.2432

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arXiv