Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model

DOI10.1142/S0219024919500055MaRDI QIDQ4631699zbMATH OpenOpenAlexFDO

Authors Hossein Jafari, Ghazaleh Rahimi

Publication date 18 April 2019

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

Full work available at URL https://doi.org/10.1142/s0219024919500055

zbMATH Keywords

Malliavin calculusgeometric Asian optionItô formulaLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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• Small-time asymptotics for fast mean-reverting stochastic volatility models
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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
• An extension of Itô's formula for anticipating processes
• Asymptotics and calibration of local volatility models
• Asymptotics of implied volatility in local volatility models
• Computing the implied volatility in stochastic volatility models
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
• Nonparametric estimation for stochastic volatility models
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Pricing of geometric Asian options under Heston's stochastic volatility model
• Short Maturity Asian Options in Local Volatility Models
• Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
• Small-time asymptotics for fast mean-reverting stochastic volatility models
• Stock price distributions with stochastic volatility: an analytic approach
• The Malliavin Calculus and Related Topics
• The heat-kernel most-likely-path approximation
• The small-time smile and term structure of implied volatility under the Heston model

Cited in

(7)

• On the Implied Volatility of Asian Options Under Stochastic Volatility Models
• Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
• Distribution function of the blow up time of the solution of an anticipating random fatigue equation
• A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Small-Time Asymptotics of Option Prices and First Absolute Moments
• A note on the implied volatility of floating strike Asian options

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