Penalty method for pricing American-style Asian option with jumps diffusion process

• Main Authors: Ibrahim, S. N. I., Laham, M. F.
• 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
• Institution: Universiti Putra Malaysia

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...