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

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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...

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Bibliographic Details
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/ http://psasir.upm.edu.my/id/eprint/108689/1/Penalty%20method%20for%20pricing%20American-style%20Asian.pdf

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