Foschi, Paolo ;
Pagliarani, Stefano ;
Pascucci, Andrea
(2011)
Black-Scholes formulae for Asian options in local volatility models.
Bologna, IT:
Dipartimento di Scienze Statistiche "Paolo Fortunati", Alma Mater Studiorum Università di Bologna,
p. 29.
DOI
10.6092/unibo/amsacta/3091.
In: Quaderni di Dipartimento. Serie Ricerche
ISSN 1973-9346.
Full text available as:
Abstract
We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat kernel expansion method in the framework of hypoelliptic, not uniformly parabolic, partial differential equations.
Abstract
We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat kernel expansion method in the framework of hypoelliptic, not uniformly parabolic, partial differential equations.
Document type
Monograph
(Working Paper)
Creators
Keywords
Asian Options, Degenerate Diffusion Processes, Transition Density Functions, Analytic Approximations, Option Pricing
Subjects
ISSN
1973-9346
DOI
Deposit date
16 Aug 2011 11:29
Last modified
16 Sep 2011 12:33
URI
Other metadata
Document type
Monograph
(Working Paper)
Creators
Keywords
Asian Options, Degenerate Diffusion Processes, Transition Density Functions, Analytic Approximations, Option Pricing
Subjects
ISSN
1973-9346
DOI
Deposit date
16 Aug 2011 11:29
Last modified
16 Sep 2011 12:33
URI
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