Short Maturity Asian Options in Local Volatility Models

DOI10.1137/15M1047568zbMath1406.91450arXiv1609.07559OpenAlexW2524550479MaRDI QIDQ2953946

Dan Pirjol, Lingjiong Zhu

Publication date: 11 January 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.07559

zbMATH Keywords

variational problemlarge deviationsAsian optionslocal volatilityshort maturity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for variational inequalities and related problems (65K15)

Related Items (15)

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Short maturity conditional Asian options in local volatility models ⋮ MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition ⋮ SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion ⋮ SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL ⋮ SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL ⋮ On the distribution of the time-integral of the geometric Brownian motion ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Asymptotics for volatility derivatives in multi-factor rough volatility models ⋮ Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options ⋮ Density estimates and short-time asymptotics for a hypoelliptic diffusion process ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models

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