IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS

DOI10.1142/S021902490900518XMaRDI QIDQ5324399zbMATH OpenOpenAlexFDO

Authors Zhaojun Yang, Christian-Oliver Ewald, 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

zbMATH Keywords

Asian optionscalibrationexotic optionsimplied volatilitylocal volatilityMonte Carlo simulation

Mathematics Subject Classification ID

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

Recommendations

• A note on the implied volatility of floating strike Asian options
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Cites work

• A new formula for computing implied volatility
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method
• An Introduction to Financial Option Valuation
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1253576 (Why is no real title available?)
• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Stochastic finance. A numeraire approach.
• The Malliavin gradient method for the calibration of stochastic dynamical models

Cited in

(5)

• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
• A note on the implied volatility of floating strike Asian options
• On the valuation of discrete Asian options in high volatility environments
• On the Implied Volatility of Asian Options Under Stochastic Volatility Models
• Swing option-implied volatility

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Uses Software

• BRENT

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