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
收藏
页数：10
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