Short maturity forward start Asian options in local volatility models
From MaRDI portal
Abstract: We study the short maturity asymptotics for prices of forward start Asian options under the assumption that the underlying asset follows a local volatility model. We obtain asymptotics for the cases of out-of-the-money, in-the-money, and at-the-money, considering both fixed strike and floating Asian options. The exponential decay of the price of an out-of-the-money forward start Asian option is handled using large deviations theory, and is controlled by a rate function which is given by a double-layer optimization problem. In the Black-Scholes model, the calculation of the rate function is simplified further to the solution of a non-linear equation. We obtain closed form for the rate function, as well as its asymptotic behaviors when the strike is extremely large, small, or close to the initial price of the underlying asset.
Recommendations
- Short Maturity Asian Options in Local Volatility Models
- Short maturity conditional Asian options in local volatility models
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Most-likely-path in Asian option pricing under local volatility models
- Approximations for Asian options in local volatility models
Cites work
- A backward Monte Carlo approach to exotic option pricing
- A general framework for pricing Asian options under Markov processes
- A market model for stochastic implied volatility
- Approximations for Asian options in local volatility models
- Asymptotics and calibration of local volatility models
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Asymptotics of Forward Implied Volatility
- Asymptotics of implied volatility in local volatility models
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Bounds for the price of discrete arithmetic Asian options
- Can the implied volatility surface move by parallel shifts?
- Closed-form expansions of discretely monitored Asian options in diffusion models
- Consistent variance curve models
- Diffusion processes in a small time interval
- Forward and future implied volatility
- General Freidlin-Wentzell large deviations and positive diffusions
- scientific article; zbMATH DE number 5005907 (Why is no real title available?)
- scientific article; zbMATH DE number 48198 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 3103269 (Why is no real title available?)
- Laguerre series for Asian and other options
- Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
- Martingale methods in financial modelling.
- Most-likely-path in Asian option pricing under local volatility models
- Multiplicative noise, fast convolution and pricing
- On the equivalence of floating- and fixed-strike Asian options
- Prices and sensitivities of Asian options: A survey
- Sato processes and the valuation of structured products
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Short Maturity Asian Options in Local Volatility Models
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Spectral Expansions for Asian (Average Price) Options
- The heat-kernel most-likely-path approximation
- The log-normal approximation in financial and other computations
- The small-maturity Heston forward smile
- The value of an Asian option
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
Cited in
(9)- Short maturity conditional Asian options in local volatility models
- On the distribution of the time-integral of the geometric Brownian motion
- Short Maturity Asian Options in Local Volatility Models
- Most-likely-path in Asian option pricing under local volatility models
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- Short-maturity options on realized variance in local-stochastic volatility models
- Conditional distribution of the time-average of a geometric Brownian motion and option pricing in the SABR model
This page was built for publication: Short maturity forward start Asian options in local volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5241901)
