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- W1685678052 abstract "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." @default.
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- W1685678052 date "2014-01-01" @default.
- W1685678052 modified "2023-09-27" @default.
- W1685678052 title "Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices" @default.
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- W1685678052 doi "https://doi.org/10.1007/978-3-319-06653-0_20" @default.
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