SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL

DOI10.1142/S0219024918500085zbMath1395.91463OpenAlexW2793233807MaRDI QIDQ4608115

Dan Pirjol, Lingjiong Zhu

Publication date: 15 March 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500085

zbMATH Keywords

sensitivity analysisapproximationAsian optionsGreeks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ On the solution of two-dimensional fractional Black-Scholes equation for European put option

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