PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

Author:

Bayraktar Erhan,Xing Hao

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference17 articles.

1. A Proof of the Smoothness of the Finite Time Horizion American Put Option for Jump Diffusions;Bayraktar;SIAM J. Contl. Opt,2009

2. Cai , N. 2008 Ph.D. thesis http://www.docstoc.com/docs/47015408/Jump-diffusion-processes-in-financial-modeling

3. Financial Modelling with Jump Processes

4. Bessel Processes, Asian Options, and Perpetuities;Geman;Math. Finance,1993

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