Approximations for Asian options in local volatility models

DOI10.1016/J.CAM.2012.06.015MaRDI QIDQ455879zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricinglocal volatilityAsian optionanalytical approximationhypoelliptic equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(29)

• Asymptotic and non asymptotic approximations for option valuation
• Lower bounds for densities of Asian type stochastic differential equations
• Hedging strategies for discretely monitored Asian options under Lévy processes
• Pricing vulnerable claims in a Lévy-driven model
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• Pricing average options under time-changed Lévy processes
• Particle methods for PDEs arising in financial modeling
• Asymptotic expansion approach in finance
• Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
• Short Maturity Asian Options in Local Volatility Models
• Expansion formulas for European quanto options in a local volatility FX-LIBOR 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
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
• On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
• Existence of a fundamental solution of partial differential equations associated to Asian options
• Short maturity forward start Asian options in local volatility models
• Pricing arithmetic Asian options under hybrid stochastic and local volatility
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
• Weak approximation of averaged diffusion processes
• Short maturity conditional Asian options in local volatility models
• Sensitivities of Asian options in the Black-Scholes model
• Intrinsic expansions for averaged diffusion processes
• Tube estimates for diffusion processes under a weak Hörmander condition
• Expansion formulas for European options in a local volatility model
• A numerical study of Asian option with high-order compact finite difference scheme

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