IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS

DOI10.1142/S021902490900518XzbMATH Open1183.91183OpenAlexW3125571709MaRDI QIDQ5324399FDOQ5324399

Christian-Oliver Ewald, Zhaojun Yang, Yajun Xiao

Publication date: 3 August 2009

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

Full work available at URL: https://doi.org/10.1142/s021902490900518x

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zbMATH Keywords

Monte Carlo simulationcalibrationlocal volatilityimplied volatilityAsian optionsexotic options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• An Introduction to Financial Option Valuation
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Title not available (Why is that?)
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method
• A new formula for computing implied volatility
• Title not available (Why is that?)
• The Malliavin gradient method for the calibration of stochastic dynamical models

Cited In (2)

• On the Implied Volatility of Asian Options Under Stochastic Volatility Models
• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations

Uses Software

• BRENT

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