Qian Xiao-song
Abstract
In this paper the problem of pricing Asian options is studied in a jump-diffusion model. We provide a simple and unifying approach for pricing arithmetic average Asian options and get a onedimensional integro-differential equation without path-dependency.
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In this paper the problem of pricing Asian options is studied in a jump-diffusion model. We provide a simple and unifying approach for pricing arithmetic average Asian options and get a onedimensional integro-differential equation without path-dependency.
Key concepts: Jump diffusion, Asian option, Valuation (finance), Jump, Econometrics, Actuarial science, Mathematics, Economics