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Document type:
Buchbeitrag 
Author(s):
Hepperger, P. 
Title:
Low-dimensional partial integro-differential equations for high-dimensional Asian options 
Pages contribution:
331-348 
Abstract:
Asian options on a single asset under a jump-diffusion model can be priced by solving a partial integro-differential equation (PIDE). We consider the more challenging case of an option whose payoff depends on a large number (or even a continuum) of assets. Possible applications include options on a stock basket index and electricity contracts with a delivery period. Both of these can be modeled with an exponential, timeinhomogeneous, Hilbert space valued jump-diffusion process. We derive the cor...    »
 
Editor:
Kabanov, Y., Rutkowski, M., and Zariphopoulou, T. 
Book title:
Inspired by Finance 
Publisher:
Springer 
Publisher address:
Cham, Heidelberg, New York, Dordrecht, London 
Year:
2014 
Pages:
331-348 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
CC license:
by, http://creativecommons.org/licenses/by/4.0