Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

DOI10.1080/14697688.2024.2326114zbMATH Open1548.91123MaRDI QIDQ6576884FDOQ6576884

Publication date: 23 July 2024

Published in: Quantitative Finance (Search for Journal in Brave)

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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Jump processes on general state spaces (60J76)

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Short Maturity Asian Options in Local Volatility Models
SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
Short maturity forward start Asian options in local volatility models
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Jumps and stochastic volatility in crude oil prices and advances in average option pricing

Cited In (1)

SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS

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