Short maturity conditional Asian options in local volatility models-Reference-Cited by-同舟云学术

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Short maturity conditional Asian options in local volatility models

Published:2020-01-18 Issue:2 Volume:14 Page:307-328
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Yao Nian,Ling Zhichao,Zhang Jieyu,Xiao Mingqing^ORCID

Funder

National Science Foundation

Joint Research Fund for Overseas Chinese Scholars and Scholars in Hong Kong and Macao

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11579-020-00257-y.pdf

Reference37 articles.

1. Avellaneda, M., Boyer-Olson, D., Busca, J., Friz, P.: Application of large deviation methods to the pricing of index options in finance. C. R. Math. Acad. Sci. Paris 336, 236–266 (2003)

2. Bayraktar, E., Xing, H.: Pricing asian options for jump diffusion. Math. Financ. 21(1), 117–143 (2011)

3. Berestycki, H., Busca, J., Florent, I.: Asymptotics and calibration of local volatility models. Quant. Financ. 2, 61–69 (2002)

4. Cai, N., Song, Y., Kou, S.: A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3), 540–554 (2015)

5. Canhanga, B., Malyarenko, A., Murara, J.-P., Ni, Y., Silvestrov, S.: Numerical studies on asymptotics of European option under multiscale stochastic volatility. Methodol. Comput. Appl. Probab. 19(4), 1075–1087 (2017)

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading;Mathematics;2020-12-20

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