Approximations for Asian options in local volatility models

• Autores: Paolo Foschi, Stefano Pagliarani, Andrea Pascucci
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 237, Nº 1, 2013, págs. 442-459
• Idioma: inglés
• DOI: 10.1016/j.cam.2012.06.015
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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.