Pricing Asian Options for Jump Diffusions
| dc.creator | Bayraktar, Erhan | |
| dc.creator | Xing, Hao | |
| dc.date | 2007-07-17 | |
| dc.date | 2008-10-29 | |
| dc.date.accessioned | 2026-07-07T10:13:30Z | |
| dc.date.available | 2026-07-07T10:13:30Z | |
| dc.description | 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. | |
| dc.description | Key Words: Pricing Asian Options, Jump diffusions, an Iterative Numerical Scheme, Classical Solutions of Integro-PDEs | |
| dc.identifier | https://arxiv.org/abs/0707.2432 | |
| dc.identifier | http://arxiv.org/abs/0707.2432 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/172550 | |
| dc.subject | Computational Engineering, Finance, and Science | |
| dc.title | Pricing Asian Options for Jump Diffusions | |
| dc.type | text |