Approximations for Asian options in local volatility models
نویسندگان
چکیده
منابع مشابه
New approximations in local volatility models
For general time-dependent local volatility models, we propose new approximation formulas for the price of call options. This extends previous results of [BGM10b] where stochastic expansions combined with Malliavin calculus were performed to obtain approximation formulas based on the local volatility At The Money. Here, we derive alternative expansions involving the local volatility at strike. ...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2013
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.06.015