Short Maturity Forward Start Asian Options in Local Volatility Models (Q5241901)
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scientific article; zbMATH DE number 7125795
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short Maturity Forward Start Asian Options in Local Volatility Models |
scientific article; zbMATH DE number 7125795 |
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Short Maturity Forward Start Asian Options in Local Volatility Models (English)
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4 November 2019
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Asian option
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short maturity asymptotics
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local volatility model
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large deviations
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variational problems
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