Asian Option Pricing under an Uncertain Volatility Model

被引：0

作者：

Han, Yuecai ^{[1
]}

Liu, Chunyang ^{[1
]}

机构：

[1] Jilin Univ, Sch Math, Changchun 130012, Peoples R China

来源：

MATHEMATICAL PROBLEMS IN ENGINEERING | 2020年 / 2020卷

关键词：

Economics - Financial markets - Nonlinear equations;

D O I：

10.1155/2020/4758052

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario under an uncertain volatility model. We derive a procedure to approximate Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and splitting the obtained Black-Scholes-Barenblatt equation into two Black-Scholes-like equations, we obtain an approximation method to solve a fully nonlinear PDE.

引用

页数：10

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