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arXiv · 0707.2432

Pricing Asian Options for Jump Diffusions

Erhan Bayraktar·Hao Xing
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Abstract

We 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.

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Erhan Bayraktar, Hao Xing. 2008-10-29. Pricing Asian Options for Jump Diffusions. https://arxiv.org/abs/0707.2432

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