Approximations for Asian options in local volatility models

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:237

Article

Foschi, Paolo²  Pagliarani, Stefano³  Pascucci, Andrea¹ 

[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

关键词: Option pricing;    Analytical approximation;    Asian option;    Local volatility;    Hypoelliptic equation;   

DOI  :  10.1016/j.cam.2012.06.015

来源: Elsevier

【 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.

【 授权许可】

Free