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Abstract
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In this talk, I will discuss the pricing problem for the European Asian options in jump diffusion models. Following the method which Prof. Bayraktar used to solve the problem for American options, a sequence of functions are also constructed to approximate the price of Asian options. However, because the pay-off functions are not necessarily bounded, new methods are introduced to prove the regularity of functions in this sequence. As a result, this sequence of functions converge unformly and exponentially fast to the price of Asian option on compact sets. This provides us a fast numerical algorithm. At the end of this talk, I will present the numerical performance of this algorithm for Merton's model and Kou's model. |
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