Discrete Asian Option Price in the Jump-Diffusion Model

Posted by Chun-Yuan Chiu


Show parameters of the jump-diffusion model (annulized)

Risk free interest rate

Show inputs of the FFT pricing method

Number of grid points
Window [-c, c], c =

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Number of partitions
Call value

The price of an Asian call option in the jump-diffusion model, a model proposed by Merton (1976). The calculation is based on FFT pricing. The algorithm is a sequence of operations on grid functions. We take uniform grid in the interval [-c, c]. For now the number of grid points can only be a power of 2.

Tagged: FFT, Asian Option, Merton Model, Jump-Diffusion Model

 •  Jun 12, 2013  • 

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