PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

By Erhan Bayraktar, Hao Xing. 2011

48 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/3ccf7c41cde1d89b63c40668d935235946349c12

Citations in the corpus

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “Building on Vecer and Xu (2004), the technique proposed in Bayraktar and Xing (2011) involves constructing a sequence of functions that converges uniformly to the option price.”