Black-Scholes formulae for Asian options in local volatility models

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.

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Year of publication:	2011
Authors:	Foschi, Paolo ; Pagliarani, Stefano ; Pascucci, Andrea
Institutions:	Dipartimento di Scienze Statistiche "Paolo Fortunati", Alma Mater Studiorum - Università di Bologna
Subject:	Asian Options \| Degenerate Diffusion Processes \| Transition Density Functions \| Analytic Approximations \| Option Pricing

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Extent:	application/pdf
Series:	Quaderni di Dipartimento.
Type of publication:	Book / Working Paper
Notes:	Number 7 2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011228042