Approximations for Asian options in local volatility models

被引：31

作者：

Foschi, Paolo ^{[2
]}

Pagliarani, Stefano ^{[3
]}

Pascucci, Andrea ^{[1
]}

机构：

[1] Univ Bologna, Dipartimento Matemat, I-40126 Bologna, Italy

[2] Univ Bologna, Dipartimento Sci Stat Paolo Fortunati, I-40126 Bologna, Italy

[3] Univ Padua, Dipartimento Matemat, I-35121 Padua, Italy

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2013年 / 237卷 / 01期

关键词：

Option pricing; Analytical approximation; Asian option; Local volatility; Hypoelliptic equation; DIFFERENTIAL-EQUATIONS; EXPLICIT FORMULAS;

D O I：

10.1016/j.cam.2012.06.015

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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. (c) 2012 Elsevier B.V. All rights reserved.

引用

页码：442 / 459

页数：18

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