Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
Arithmetic Asian options is a financial derivatives whose payoff depends on the average of underlying asset which can either be European-style or American-style. The aim of this study is to provide a pricing formulae for arithmetic Asian option with early exercise boundary under jump-diffusion proc...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Institute for Mathematical Research, Universiti Putra Malaysia
2020
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| Online Access: | http://psasir.upm.edu.my/id/eprint/38338/ http://psasir.upm.edu.my/id/eprint/38338/1/1.%20FARIS%20%26%20IQMAL.pdf |
| _version_ | 1848848852497465344 |
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| author | Laham, Mohamed Faris Ibrahim, Siti Nur Iqmal Kilicman, Adem |
| author_facet | Laham, Mohamed Faris Ibrahim, Siti Nur Iqmal Kilicman, Adem |
| author_sort | Laham, Mohamed Faris |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Arithmetic Asian options is a financial derivatives whose payoff depends on the average of underlying asset which can either be European-style or American-style. The aim of this study is to provide a pricing formulae for arithmetic Asian option with early exercise boundary under jump-diffusion process by implementing probabilistic approach and conditional expected values. We provide numerical examples for approximation formulae of arithmetic Asian option using quadrature methods and compare the results with Monte Carlo simulation which demonstrate the efficiency of the numerical integration technique. |
| first_indexed | 2025-11-15T09:41:05Z |
| format | Article |
| id | upm-38338 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:41:05Z |
| publishDate | 2020 |
| publisher | Institute for Mathematical Research, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-383382020-05-04T16:19:03Z http://psasir.upm.edu.my/id/eprint/38338/ Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process Laham, Mohamed Faris Ibrahim, Siti Nur Iqmal Kilicman, Adem Arithmetic Asian options is a financial derivatives whose payoff depends on the average of underlying asset which can either be European-style or American-style. The aim of this study is to provide a pricing formulae for arithmetic Asian option with early exercise boundary under jump-diffusion process by implementing probabilistic approach and conditional expected values. We provide numerical examples for approximation formulae of arithmetic Asian option using quadrature methods and compare the results with Monte Carlo simulation which demonstrate the efficiency of the numerical integration technique. Institute for Mathematical Research, Universiti Putra Malaysia 2020 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/38338/1/1.%20FARIS%20%26%20IQMAL.pdf Laham, Mohamed Faris and Ibrahim, Siti Nur Iqmal and Kilicman, Adem (2020) Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process. Malaysian Journal of Mathematical Sciences, 14 (1). pp. 1-15. ISSN 1823-8343; ESSN: 2289-750X http://einspem.upm.edu.my/journal/fullpaper/vol14no1jan/1.%20FARIS%20&%20IQMAL.pdf |
| spellingShingle | Laham, Mohamed Faris Ibrahim, Siti Nur Iqmal Kilicman, Adem Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process |
| title | Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process |
| title_full | Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process |
| title_fullStr | Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process |
| title_full_unstemmed | Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process |
| title_short | Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process |
| title_sort | pricing arithmetic asian put option with early exercise boundary under jump-diffusion process |
| url | http://psasir.upm.edu.my/id/eprint/38338/ http://psasir.upm.edu.my/id/eprint/38338/ http://psasir.upm.edu.my/id/eprint/38338/1/1.%20FARIS%20%26%20IQMAL.pdf |