Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
成果类型：
Article
署名作者：
Cai, Ning; Kou, Steven
署名单位：
Hong Kong University of Science & Technology; Columbia University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1110.1006
发表日期：
2012
页码：
64-77
关键词：
摘要：
We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model. Similar results were available previously only in the special case of the Black-Scholes model (BSM). Even in the case of the BSM, our approach is simpler as we essentially use only Ito's formula and do not need more advanced results such as those of Bessel processes and Lamperti's representation. As a by-product we also show that a well-known recursion relating to Asian options has a unique solution in a probabilistic sense. The double-Laplace transform can be inverted numerically via a two-sided Euler inversion algorithm. Numerical results indicate that our pricing method is fast, stable, and accurate; and it performs well even in the case of low volatilities.