Wed, 20 Aug 2008 22:08:55 BST CiteULike: bigbossman asian http://www.citeulike.org/user/bigbossman/tag/asian CiteULike.org en-gb Copyright © 2004-2008 citeulike.org http://www.citeulike.org/user/bigbossman/article/1464868 <i>(17 Jul 2007)</i><br /><br />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, exponentially fast. Each of the element in this sequence solves a parabolic partial differen- tial equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accuracy versus speed characteristics can be controlled. We analyze the performance of our numerical algorithm on several examples. Pricing Asian Options for Jump Diffusions Erhan Bayraktar Hao Xing (17 Jul 2007) 2007-07-18T12:38:25-00:00 2007 asian diffusion jump options