SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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Cites work
- A general framework for pricing Asian options under Markov processes
- A new approach for option pricing under stochastic volatility
- A theory of the term structure of interest rates
- Analysis, Geometry, and Modeling in Finance
- Approximations for Asian options in local volatility models
- Asymptotics and calibration of local volatility models
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- Asymptotics of implied volatility in local volatility models
- Asymptotics of implied volatility to arbitrary order
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- Central limit theorem and moderate deviation principle for CKLS model with small random perturbation
- Closed-form asymptotics and numerical approximations of 1D parabolic equations with applications to option pricing
- Closed-form expansions of discretely monitored Asian options in diffusion models
- Computing the implied volatility in stochastic volatility models
- Diffusion processes in a small time interval
- Equivalent Black volatilities
- General Freidlin-Wentzell large deviations and positive diffusions
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 3876298 (Why is no real title available?)
- scientific article; zbMATH DE number 5005907 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- Laguerre series for Asian and other options
- Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
- On the equivalence of floating- and fixed-strike Asian options
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Pricing and hedging in exponential Lévy models: review of recent results
- Short Maturity Asian Options in Local Volatility Models
- Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
- Small-time asymptotics for fast mean-reverting stochastic volatility models
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
- Small-Time Asymptotics of Option Prices and First Absolute Moments
- Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion
- Spectral Expansions for Asian (Average Price) Options
- The heat-kernel most-likely-path approximation
- The small-maturity smile for exponential Lévy models
- The small-time smile and term structure of implied volatility under the Heston model
- The square-root process and Asian options
- The value of an Asian option
- Two singular diffusion problems
- Weak approximation of averaged diffusion processes
Cited in
(11)- Short maturity conditional Asian options in local volatility models
- Asymptotic approach to the pricing of geometric Asian options under the CEV model
- Arithmetic average Asian options with stochastic elasticity of variance
- Short Maturity Asian Options in Local Volatility Models
- Short maturity forward start Asian options in local volatility models
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS
- On the Implied Volatility of Asian Options Under Stochastic Volatility Models
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- Short-maturity options on realized variance in local-stochastic volatility models
- Asian options for local-stochastic volatility models in the short-maturity regime
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