19 citations · 43 across the 20 of their papers we have counts for
Showing cs.CEShow all
2 papers · 1 filter
cs.CE2007★ 1 cited
Pricing Asian Options for Jump Diffusions
Erhan Bayraktar, Hao Xing
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, ex…
cs.CE2007★ 1 cited
Pricing American Options for Jump Diffusions by Iterating Optimal Stopping Problems for Diffusions
Erhan Bayraktar, Hao Xing
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly…