Approximations for Asian options in local volatility models

被引：31
|
作者：
Foschi, Paolo [2 ]
Pagliarani, Stefano [3 ]
Pascucci, Andrea [1 ]
机构：
[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
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2013年 / 237卷 / 01期
关键词：
Option pricing; Analytical approximation; Asian option; Local volatility; Hypoelliptic equation; DIFFERENTIAL-EQUATIONS; EXPLICIT FORMULAS;
D O I：
10.1016/j.cam.2012.06.015
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
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.
引用
收藏
页码：442 / 459
页数：18
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