SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL

DOI10.1142/S021902492350005XMaRDI QIDQ6095474zbMATH OpenOpenAlexFDO

Authors Dan Pirjol

Publication date 8 September 2023

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

Full work available at URL https://doi.org/10.1142/s021902492350005x

zbMATH Keywords

Asian optionsasymptotic expansionstime integral of the geometric Brownian motion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Approximations for Asian options in local volatility models
• Approximations for the higher order coefficients in an asymptotic expansion for the gamma function
• Asymptotic behavior of distribution densities in models with stochastic volatility. I.
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
• Asymptotics of implied volatility to arbitrary order
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• scientific article; zbMATH DE number 3117699 (Why is no real title available?)
• scientific article; zbMATH DE number 5005907 (Why is no real title available?)
• scientific article; zbMATH DE number 3482903 (Why is no real title available?)
• Implementing models in quantitative finance: methods and cases
• Laguerre series for Asian and other options
• Most-likely-path in Asian option pricing under local volatility models
• On some exponential functionals of Brownian motion
• On the distribution of the time-integral of the geometric Brownian motion
• Sensitivities of Asian options in the Black-Scholes model
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• Short Maturity Asian Options in Local Volatility Models
• Small-\(t\) expansion for the Hartman-Watson distribution
• Spectral Expansions for Asian (Average Price) Options
• The value of an Asian option

Cited in

(4)

• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
• On the Implied Volatility of Asian Options Under Stochastic Volatility Models
• Nested-conditional factorization approach to Asian options pricing
• Asian options for local-stochastic volatility models in the short-maturity regime

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