mdh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (Mathematics and Applied Mathematics)ORCID iD: 0000-0003-3204-617X
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. University of Nairobi, Nairobi, Kenya. (Mathematics and Applied Mathematics)
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (Mathematics and Applied Mathematics)ORCID iD: 0000-0003-4554-6528
University of Nairobi, Nairobi, Kenya.
2014 (English)In: Modern Problems in Insurance Mathematics / [ed] Silvestrov, Dmitrii, Martin-Löf, Anders, Springer International Publishing , 2014, 335-363 p.Chapter in book (Refereed)
Abstract [en]

Asian options are options whose value depends on the average asset price during its lifetime. They are useful because they are less subject to price manipulations. We consider Asian option pricing on a lattice where the underlying asset follows the Merton–Bates jump-diffusion model. We describe the construction of the lattice using the moment matching technique which results in an equation system described by a Vandermonde matrix. Using some properties of Vandermonde matrices we calculate the jump probabilities of the resulting system. Some conditions on the possible jump sizes in the lattice are also given.

Place, publisher, year, edition, pages
Springer International Publishing , 2014. 335-363 p.
Series
EAA Series, ISSN 1869-6929
National Category
Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-27267DOI: 10.1007/978-3-319-06653-0_20ISBN: 978-3-319-06652-3 (print)ISBN: 978-3-319-06653-0 (print)OAI: oai:DiVA.org:mdh-27267DiVA: diva2:775380
Available from: 2015-01-02 Created: 2015-01-02 Last updated: 2016-02-02Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full texthttp://dx.doi.org/10.1007/978-3-319-06653-0_20

Search in DiVA

By author/editor
Lundengård, KarlOgutu, CarolyneSilvestrov, Sergei
By organisation
Educational Sciences and Mathematics
MathematicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

Altmetric score

Total: 70 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf