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Dokumenttyp:
Buchbeitrag 
Autor(en):
Hepperger, P. 
Titel:
Low-dimensional partial integro-differential equations for high-dimensional Asian options 
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...    »
 
Seitenangaben Beitrag:
331-348 
Herausgeber:
Kabanov, Y., Rutkowski, M., and Zariphopoulou, T. 
Buchtitel:
Inspired by Finance 
Verlag / Institution:
Springer 
Verlagsort:
Cham, Heidelberg, New York, Dordrecht, London 
Jahr:
2014 
Seiten/Umfang:
331-348 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
CC-Lizenz:
by, http://creativecommons.org/licenses/by/4.0