MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS

DOI10.1142/S0219024918500292zbMath1396.91714arXiv1706.02408OpenAlexW2964269391WikidataQ129778322 ScholiaQ129778322MaRDI QIDQ4584697

Louis-Pierre Arguin, Tai-Ho Wang, Nien-Lin Liu

Publication date: 4 September 2018

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

Full work available at URL: https://arxiv.org/abs/1706.02408

zbMATH Keywords

asymptotic expansionexotic optionlarge deviation theoryAsian option pricingmost-likely-path

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL, SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL, Volatility and volatility-linked derivatives: estimation, modeling, and pricing, Short Maturity Forward Start Asian Options in Local Volatility Models

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