Penalty method for pricing American-style Asian option with jumps diffusion process
American-style options are important derivative contracts in today's worldwide financial markets. They trade large volumes on various underlying assets, including stocks, indices, foreign exchange rates, and futures. In this work, a penalty approach is derived and examined for use in pricing...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Lviv Polytechnic National University
2023
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/108689/1/Penalty%20method%20for%20pricing%20American-style%20Asian.pdf http://psasir.upm.edu.my/id/eprint/108689/ https://science.lpnu.ua/mmc/all-volumes-and-issues/volume-10-number-4-2023/penalty-method-pricing-american-style-asian |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universiti Putra Malaysia |
| Language: | English |