Asian options with jumps

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/33659

Title:	Asian options with jumps
Authors:	Chou,Ching-Sung;Lin,Hsien-Jen
Contributors:	數學研究所
Keywords:	CONTINGENT CLAIMS
Date:	2006
Issue Date:	2010-07-07 11:40:47 (UTC+8)
Publisher:	中央大學
Abstract:	The paper is concerned with the computation of Asian options when the underlying asset has a jump. In the Black and Scholes model, Geman and Yor give a closed-form of formula for the price of an Asian option at a random exponential distributed maturity (i
Relation:	STATISTICS & PROBABILITY LETTERS
Appears in Collections:	[Graduate Institute of Mathematics] journal & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	406	View/Open

社群 sharing