Asian options with jumps

Ching-Sung Chou and Hsien-Jen Lin

Statistics & Probability Letters, 2006, vol. 76, issue 18, 1983-1993

Abstract: The paper is concerned with the computation of Asian options when the underlying asset has a jump. In the Black and Scholes model, Geman and Yor give a closed-form of formula for the price of an Asian option at a random exponential distributed maturity (it then "suffices" to invert the Laplace transform to have the price at a fixed time). The aim of this paper is to obtain such a formula in a model (which seems more realistic) of Black and Scholes with a jump at a random time, which extends the well-known case of the continuous Black and Scholes model. Furthermore, we treat the multi-jump case. Here we also develop a formula for pricing such an option.

Keywords: Asian; options; with; jumps; Incomplete; financial; market; Resolvent; Markov; processes; Cadlag; processes (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(06)00182-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:76:y:2006:i:18:p:1983-1993

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().