A note on the implied volatility of floating strike Asian options View Full Text


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Article Info

DATE

2019-03-11

AUTHORS

Elisa Alòs, Jorge A. León

ABSTRACT

In this paper, we study the short-time behavior of the implied volatility for short-time floating strike Asian options. Our method is based on Malliavin calculus techniques and allows us to construct an approximation formula for the corresponding option prices. Numerical examples are given.

PAGES

1-16

References to SciGraph publications

Journal

TITLE

Decisions in Economics and Finance

ISSUE

N/A

VOLUME

N/A

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10203-019-00239-w

DOI

http://dx.doi.org/10.1007/s10203-019-00239-w

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1112685129


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