Convergence of the binomial tree method for Asian options in jump-diffusion models

Author:

Kim Kwang Ik,Qian Xiao-song

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference17 articles.

Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Asian Chooser Option Pricing Based on Binominal Tree and Monte Carlo Simulation;2022 8th International Conference on E-business and Mobile Commerce;2022-05-13

2. A Study on Loan-pricing of Marine Logistics Enterprise by Commercial Banks under Venture Loan;Journal of Coastal Research;2019-09-09

3. Applying Greek letters to robust option price modeling by binomial-tree;Physica A: Statistical Mechanics and its Applications;2018-08

4. A mathematical modeling for the lookback option with jump–diffusion using binomial tree method;Journal of Computational and Applied Mathematics;2011-07

5. Analytical binomial lookback options with double-exponential jumps;Journal of the Korean Statistical Society;2009-12

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