Approximations for Asian options in local volatility models
From MaRDI portal
Publication:455879
DOI10.1016/J.CAM.2012.06.015zbMATH Open1260.91100OpenAlexW3124048100MaRDI QIDQ455879FDOQ455879
Authors: Paolo Foschi, Stefano Pagliarani, Andrea Pascucci 
Publication date: 22 October 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.06.015
Recommendations
- Short Maturity Asian Options in Local Volatility Models
- New approximations in local volatility models
- Most-likely-path in Asian option pricing under local volatility models
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Asymptotic and non asymptotic approximations for option valuation
Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cited In (28)
- Pricing vulnerable claims in a Lévy-driven model
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS
- Intrinsic expansions for averaged diffusion processes
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL
- SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL
- A numerical study of Asian option with high-order compact finite difference scheme
- Asymptotic Expansion Approach in Finance
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Particle methods for PDEs arising in financial modeling
- Short Maturity Forward Start Asian Options in Local Volatility Models
- Tube estimates for diffusion processes under a weak Hörmander condition
- Lower bounds for densities of Asian type stochastic differential equations
- A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- Hedging strategies for discretely monitored Asian options under Lévy processes
- Short Maturity Asian Options in Local Volatility Models
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
- Expansion formulas for European options in a local volatility model
- Analytical approximation of the transition density in a local volatility model
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- Pricing average options under time-changed Lévy processes
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
- Existence of a fundamental solution of partial differential equations associated to Asian options
- Weak approximation of averaged diffusion processes
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model
- Pricing arithmetic Asian options under hybrid stochastic and local volatility
This page was built for publication: Approximations for Asian options in local volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q455879)
