SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL

DOI10.1142/s021902492350005xzbMath1521.91363OpenAlexW4321331234MaRDI QIDQ6095474

Dan Pirjol

Publication date: 8 September 2023

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

Full work available at URL: https://doi.org/10.1142/s021902492350005x

zbMATH Keywords

asymptotic expansionsAsian optionstime integral of the geometric Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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• The value of an Asian option
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
• Spectral Expansions for Asian (Average Price) Options

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