We are grateful to the anonymous associate editor and two referees for detailed comments that helped us improve our paper. E. Bayraktar is supported in part by the National Science Foundation under an applied mathematics research grant and a Career grant, DMS-0906257and DMS-0955463, respectively, and in part by the Susan M. Smith Professorship.
PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
Article first published online: 22 SEP 2010
© 2010 Wiley Periodicals, Inc.
Volume 21, Issue 1, pages 117–143, January 2011
How to Cite
Bayraktar, E. and Xing, H. (2011), PRICING ASIAN OPTIONS FOR JUMP DIFFUSION. Mathematical Finance, 21: 117–143. doi: 10.1111/j.1467-9965.2010.00426.x
- Issue published online: 15 DEC 2010
- Article first published online: 22 SEP 2010
- Manuscript received July 2007; final revision received March 2009.
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