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Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process


Citation

Laham, Mohamed Faris and Ibrahim, Siti Nur Iqmal and Kilicman, Adem (2020) Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process. Malaysian Journal of Mathematical Sciences, 14 (1). pp. 1-15. ISSN 1823-8343; ESSN: 2289-750X

Abstract

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 process by implementing probabilistic approach and conditional expected values. We provide numerical examples for approximation formulae of arithmetic Asian option using quadrature methods and compare the results with Monte Carlo simulation which demonstrate the efficiency of the numerical integration technique.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Science
Institute for Mathematical Research
Publisher: Institute for Mathematical Research, Universiti Putra Malaysia
Keywords: American-Asian option; Option pricing; Monte Carlo simulation; Jump-diffusion process
Depositing User: Nabilah Mustapa
Date Deposited: 04 May 2020 16:19
Last Modified: 04 May 2020 16:19
URI: http://psasir.upm.edu.my/id/eprint/38338
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