scientific article

zbMath1455.91273MaRDI QIDQ3386674

M. F. Laham, Adem Kilicman, Siti Nur Iqmal Ibrahim

Publication date: 6 January 2021

Full work available at URL: https://einspem.upm.edu.my/journal/fullpaper/vol14no1jan/1.%20FARIS%20&%20IQMAL.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingMonte Carlo simulationjump-diffusion processAmerican-Asian option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30) Jump processes on discrete state spaces (60J74)