𝔖 Bobbio Scriptorium
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PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

✍ Scribed by Erhan Bayraktar; Hao Xing

Book ID
111043179
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
217 KB
Volume
21
Category
Article
ISSN
0960-1627

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## Abstract This study derives approximate valuation formulas for basket options and Asian options under the jump‐diffusion process. To obtain an approximation for options prices under the jump‐diffusion process, we extend the Taylor expansion method developed by Ju N. (2002) under the diffusion pr

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## Abstract A way to estimate the value of an American exchange option when the underlying assets follow jump‐diffusion processes is presented. The estimate is based on combining a European exchange option and a Bermudan exchange option with two exercise dates by using Richardson extrapolation as p