PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options

DOI10.1080/07362994.2015.1024855zbMath1335.91078OpenAlexW3123754156MaRDI QIDQ3448333

Indranil SenGupta, Diganta Mukherjee, Sudip Ratan Chandra

Publication date: 23 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1024855

zbMATH Keywords

equivalent martingale measurecalibrationLévy processAsian option pricingpartial integro-differential equations (PIDE)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items (1)

Barrier option under Lévy model: a PIDE and Mellin transform approach

Cites Work

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