In this thesis, we consider Asian options when the underlying stock is driven by an Ito process with Poisson jumps. To begin with, we define the stochastic integral and Ito formula. Next, we describe the financial model by a compensated Poisson proce...
In this thesis, we consider Asian options when the underlying stock is driven by an Ito process with Poisson jumps. To begin with, we define the stochastic integral and Ito formula. Next, we describe the financial model by a compensated Poisson process. Furthermore, we transform a path dependent problem for Asian options into a problem independent of the path and derive the PDE.