Asian options pricing in Hawkes-type jump-diffusion models
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DOI: 10.1007/s10436-019-00352-1
Abstract: In this paper we propose a method for pricing Asian options in market models with the risky asset dynamics driven by a Hawkes process with exponential kernel. For these processes the couple $$ (\lambda (t),… read more here.
Keywords: diffusion models; jump diffusion; asian options; finance ... See more keywords
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
Sign Up to like & getrecommendations! Published in 2017 at "Advances in Applied Probability"
DOI: 10.1017/apr.2017.9
Abstract: Abstract The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric… read more here.
Keywords: average geometric; geometric brownian; time average; time ... See more keywords