Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model
DOI10.1142/S0219024919500055zbMATH Open1411.91563OpenAlexW2912391066MaRDI QIDQ4631699FDOQ4631699
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
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- The Malliavin Calculus and Related Topics
- 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
- Malliavin Calculus with Applications to Stochastic Partial Differential Equations
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Computing the implied volatility in stochastic volatility models
- Asymptotics of implied volatility in local volatility models
- ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
- Asymptotics and calibration of local volatility models
- Nonparametric estimation for stochastic volatility models
- The small-time smile and term structure of implied volatility under the Heston model
- The heat-kernel most-likely-path approximation
- Pricing of geometric Asian options under Heston's stochastic volatility model
- An extension of Itô's formula for anticipating processes
- 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
- Short Maturity Asian Options in Local Volatility Models
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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