연구동향 분석

IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models

이윤희 이순주 2019년

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' IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • Arithmetic average price.
  • Fixed strike Asian options with jumps
  • Implicit-explicit methods
  • Semi-Lagrangian scheme
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
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' IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models' 의 참고문헌

  • Wellposedness of the boundary value formulation of a fixed strike Asian option
    J. Hugger [2006]
  • Robust numerical methods for PDE models of Asian options
    R. Zvan [1997]
  • Pricing Asian options for jump diffiusion
  • Finite diffierence scheme with a moving mesh for pricing Asian options
    Z. Cen [2013]
  • Fast simplified approaches to Asian option pricing
  • Efficient pricing of European-style Asian options under exponential Levy processes based on Fourier cosine expansions
    B. Zhang [2013]
  • Convergence of numerical methods for valuing path-dependent options using interpolation
  • A semi-Lagrangian approach for Amer-ican Asian options under jump diffiusion
  • A new PDE approach for pricing arithmetic average Asian options
    J. Vecer [2001]
  • A P.D.E. approach to Asian options:analytical and numerical evidence
    B. Alziary [1997]