Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process

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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...

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Bibliographic Details
Main Authors:	Laham, Mohamed Faris, Ibrahim, Siti Nur Iqmal, Kilicman, Adem
Format:	Article
Language:	English
Published:	Institute for Mathematical Research, Universiti Putra Malaysia 2020
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

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