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• W3124014732 abstract "A framework for pricing Asian power options is developed when the underlying asset follows a jumpfraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Ito’s lemma and self-financing dynamic strategy. With the boundary condition, an analytic formula for the option with geometric average starting at any time before maturity is derived by solving the PDE, and the option with arithmetic average is evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming numerical evidence indicates that the technique proposed is computationally efficient and dramatically improves the accuracy of the simulated price. Moreover, this study will pave a novel way to copy with the option contracts based on thinly-traded assets like oil, or currencies or interest rates." @default.
• W3124014732 created "2021-02-01" @default.
• W3124014732 creator A5015184622 @default.
• W3124014732 creator A5080486826 @default.
• W3124014732 date "2012-10-25" @default.
• W3124014732 modified "2023-09-23" @default.
• W3124014732 title "Pricing Asian Power Options under Jump-Fraction Process" @default.
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• W3124014732 hasPublicationYear "2012" @default.
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