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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Lviv Polytechnic National University
2023
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| Online Access: | http://psasir.upm.edu.my/id/eprint/108689/ http://psasir.upm.edu.my/id/eprint/108689/1/Penalty%20method%20for%20pricing%20American-style%20Asian.pdf |