Short Maturity Asian Options in Local Volatility Models
Author:
Funder
National Science Foundation
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/15M1047568
Reference42 articles.
1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
2. A P.D.E. approach to Asian options: analytical and numerical evidence
3. ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
4. Asymptotics and calibration of local volatility models
5. Computing the implied volatility in stochastic volatility models
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