2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/172550We 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-PDEsComputational Engineering, Finance, and Sciencetext