Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model.

Ning Cai Steven S. G. Kou

Published in: Oper. Res. (2012)

Keyphrases

diffusion model
double exponential
option pricing
black scholes model
anisotropic diffusion
diffusion models
information diffusion
diffusion process
influence maximization
diffusion tensor
laplace transform
markov chain
stock price
three dimensional
edge detection
steady state
pairwise
high quality