SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL

DOI10.1017/S0269964818000165WikidataQ129723511 ScholiaQ129723511MaRDI QIDQ5056615

Dan Pirjol, Lingjiong Zhu

Publication date: 8 December 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.03382

zbMATH Keywords

variational problemlarge deviationsAsian optionsCEV modelshort maturity

Mathematics Subject Classification ID

Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Short maturity conditional Asian options in local volatility models ⋮ SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models

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