Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
Published Online:1 Feb 2012https://doi.org/10.1287/opre.1110.1006
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opre.1110.1006-sm-ec.pdf (327 KB)
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Volume 60, Issue 1
January-February 2012
Pages iii-248
Article Information
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- Received:September 01, 2007
- Accepted:June 01, 2011
- Published Online:February 01, 2012
Copyright © 2012, INFORMS
Cite as
Ning Cai, Steven Kou, (2012) Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model. Operations Research 60(1):64-77.
https://doi.org/10.1287/opre.1110.1006
Keywords
