Convergence of the binomial tree method for Asian options in jump-diffusion models

DOI10.1016/j.jmaa.2006.07.042zbMath1176.91149OpenAlexW4212889774MaRDI QIDQ874917

Kwang Ik Kim, Xiao-Song Qian

Publication date: 10 April 2007

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.07.042

zbMATH Keywords

viscosity solutionAsian optionjump-diffusion modelbinomial tree method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

A mathematical modeling for the lookback option with jump-diffusion using binomial tree method ⋮ Analytical binomial lookback options with double-exponential jumps

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