Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options

DOI10.1017/apr.2017.9zbMath1429.91327arXiv1706.09659OpenAlexW2963755282MaRDI QIDQ5233177

Lingjiong Zhu, Dan Pirjol

Publication date: 16 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.09659

zbMATH Keywords

central limit theoremlarge deviationsAsian optionBerry-Esseen bound

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE, Short maturity conditional Asian options in local volatility models, 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, Asymptotics for the Euler-discretized Hull-White stochastic volatility model, SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL, Short Maturity Forward Start Asian Options in Local Volatility Models

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