Cookies?
Library Header Image
LSE Research Online LSE Library Services

Pricing Asian options for jump diffusion

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.
Identification Number: 10.1111/j.1467-9965.2010.00426.x

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: 25 Jan 2024 17:48
URI: http://eprints.lse.ac.uk/id/eprint/31870

Actions (login required)

View Item View Item