Pricing arithmetic Asian options under jump diffusion CIR processes

被引：4

作者：

Park, Jong Jun ^{[1
]}

Jang, Hyun Jin ^{[2
]}

Jang, Jiwook ^{[3
]}

机构：

[1] Samsung Elect, Senior Profess, Seoul 06765, South Korea

[2] Ulsan Natl Inst Sci & Technol UNIST, Sch Business Adm, Ulsan 44919, South Korea

[3] Macquarie Business Sch, Dept Actuarial Studies & Business Analyt, Sydney, NSW 2109, Australia

来源：

FINANCE RESEARCH LETTERS | 2020年 / 34卷

基金：

新加坡国家研究基金会;

关键词：

Jump diffusion CIR processes; Joint Fourier and Laplace transforms; Characteristic functions; Arithmetic Asian options;

D O I：

10.1016/j.frl.2019.08.017

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We compute analytical formulae for pricing arithmetic Asian options under jump diffusion CIR processes. To derive the solution, we employ a characteristic function of the underlying asset price process and its integrated process that is not required to take the inversion Fourier or Laplace transform. We conduct numerical tests for validation of proposed formulae to confirm that they provide stable and accurate option prices with much faster computation time than the full Monte Carlo method.

引用

页数：8

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