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

• 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/38338/1/1.%20FARIS%20%26%20IQMAL.pdf; http://psasir.upm.edu.my/id/eprint/38338/; http://einspem.upm.edu.my/journal/fullpaper/vol14no1jan/1.%20FARIS%20&%20IQMAL.pdf

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...