Bayraktar, Erhan and Xing, Hao (2010) Pricing Asian options for jump diffusion. Mathematical Finance, 21 (1). pp. 117-143. ISSN 0960-1627
Full text not available from this repository.Abstract
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 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.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/(IS... |
| Additional Information: | © 2010 Wiley-Blackwell |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 28 Jan 2011 15:50 |
| Last Modified: | 08 Oct 2024 23:12 |
| URI: | http://eprints.lse.ac.uk/id/eprint/31870 |
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