Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

DOI10.1080/14697688.2024.2326114zbMATH Open1548.91123MaRDI QIDQ6576884

Publication date: 23 July 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on general state spaces (60J76)

Cites Work

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