Short Maturity Forward Start Asian Options in Local Volatility Models

DOI10.1080/1350486X.2019.1584533zbMath1426.91274arXiv1710.03160WikidataQ127401027 ScholiaQ127401027MaRDI QIDQ5241901

Lingjiong Zhu, Jing Wang, Dan Pirjol

Publication date: 4 November 2019

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.03160

zbMATH Keywords

large deviationsvariational problemsAsian optionlocal volatility modelshort maturity asymptotics

Mathematics Subject Classification ID

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

Related Items (2)

Short maturity conditional Asian options in local volatility models ⋮ On the distribution of the time-integral of the geometric Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Approximations for Asian options in local volatility models
• General Freidlin-Wentzell large deviations and positive diffusions
• Martingale methods in financial modelling.
• Consistent variance curve models
• Prices and sensitivities of Asian options: A survey
• Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
• Can the implied volatility surface move by parallel shifts?
• Bounds for the price of discrete arithmetic Asian options
• Laguerre Series for Asian and Other Options
• The Small-Maturity Heston Forward Smile
• Multiplicative noise, fast convolution and pricing
• Short Maturity Asian Options in Local Volatility Models
• FORWARD AND FUTURE IMPLIED VOLATILITY
• On the equivalence of floating- and fixed-strike Asian options
• Sato processes and the valuation of structured products
• A General Framework for Pricing Asian Options Under Markov Processes
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Diffusion processes in a small time interval
• A backward Monte Carlo approach to exotic option pricing
• MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS
• Asymptotics and calibration of local volatility models
• The log-normal approximation in financial and other computations
• A market model for stochastic implied volatility
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models
• Asymptotics of Forward Implied Volatility
• Spectral Expansions for Asian (Average Price) Options
• THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION

This page was built for publication: Short Maturity Forward Start Asian Options in Local Volatility Models