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Asian Options, Jump...
Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices
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- Lundengård, Karl, 1987- (author)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
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- Ogutu, Carolyne (author)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,University of Nairobi, Nairobi, Kenya,MAM
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- Silvestrov, Sergei, 1970- (author)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
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- Weke, Patrick (author)
- University of Nairobi, Nairobi, Kenya
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(creator_code:org_t)
- 2014-06-07
- 2014
- English.
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In: Modern Problems in Insurance Mathematics. - Cham : Springer International Publishing. - 9783319066523 - 9783319066530 ; , s. 335-363
- Related links:
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http://dx.doi.org/10...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- Asian options are options whose value depends on the average asset price during its lifetime. They are useful because they are less subject to price manipulations. We consider Asian option pricing on a lattice where the underlying asset follows the Merton–Bates jump-diffusion model. We describe the construction of the lattice using the moment matching technique which results in an equation system described by a Vandermonde matrix. Using some properties of Vandermonde matrices we calculate the jump probabilities of the resulting system. Some conditions on the possible jump sizes in the lattice are also given.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Mathematics/Applied Mathematics
- matematik/tillämpad matematik
Publication and Content Type
- ref (subject category)
- kap (subject category)
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