Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
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 proc...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Institute for Mathematical Research, Universiti Putra Malaysia
2020
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Online Access: | http://psasir.upm.edu.my/id/eprint/38338/1/1.%20FARIS%20%26%20IQMAL.pdf |