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Jang, Hyun Jin
School of Business Administration
Research Interests
  • Quantitative risk management

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Pricing arithmetic Asian options under jump diffusion CIR processes

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Title
Pricing arithmetic Asian options under jump diffusion CIR processes
Author
Park, Jong JunJang, Hyun JinJang, Jiwook
Issue Date
2019-08
Publisher
Elsevier BV
Citation
FINANCE RESEARCH LETTERS
Abstract
We compute analytical formulae for pricing arithmetic Asian options under jump diffusion CIR processes. To derive the solution, we employ a characteristic function of the underlying asset price process and its integrated process that is not required to take the inversion Fourier or Laplace transform. We conduct numerical tests for validation of proposed formulae to confirm that they provide stable and accurate option prices with much faster computation time than the full Monte Carlo method.
URI
https://scholarworks.unist.ac.kr/handle/201301/27383
URL
https://www.sciencedirect.com/science/article/pii/S1544612318305099
DOI
10.1016/j.frl.2019.08.017
ISSN
1544-6123
Appears in Collections:
SBA_Journal Papers
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