Short maturity forward start Asian options in local volatility models
Dan Pirjol, Jing Wang & Lingjiong Zhu
| Year of publication: |
2019
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|---|---|
| Authors: | Pirjol, Dan ; Wang, Jing ; Zhu, Lingjiong |
| Subject: | Finance | Asian option | short maturity asymptotics | local volatility model | large deviations | variational problems | Volatilität | Volatility | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Fälligkeit | Maturity | Asien | Asia |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2019.1584533 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210271