Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
Arithmetic Asian options is a financial derivatives whose payoff depends on the average of underlying asset which can either be European-style or American-style. The aim of this study is to provide a pricing formulae for arithmetic Asian option with early exercise boundary under jump-diffusion proc...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | en |
| Published: |
Institute for Mathematical Research, Universiti Putra Malaysia
2020
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/38338/1/1.%20FARIS%20%26%20IQMAL.pdf http://psasir.upm.edu.my/id/eprint/38338/ http://einspem.upm.edu.my/journal/fullpaper/vol14no1jan/1.%20FARIS%20&%20IQMAL.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|