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
Arithmetic Asian or average price options deliver payoffs based on the average underlying price over...
We present new approximation formulas for local stochastic volatility models, possibly including L\u...
We present a simplified approach to the analytical approximation of the transition density related ...
We develop approximate formulae expressed in terms of elementary functions for the density, the pric...
AbstractWe develop approximate formulae expressed in terms of elementary functions for the density, ...
We develop approximate formulae expressed in terms of elementary functions for the density, the pric...
none2noWe present a simplified approach to the analytical approximation of the transition density re...
This paper proposes a general approximation method for the solutions to second-order parabolic parti...
In this article, we present a simplified means of pricing Asian options using partial differential...
This paper proposes a general approximation method for the solution to a second-order parabolic part...
In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario un...
This article explores the price of continuously sampled Asian options. For geometric Asian options,,...
In this article, we present a simplified means of pricing Asian options using partial differential e...
International audienceBecause of its very general formulation, the local volatility model does not h...
Arithmetic Asian options are difficult to price and hedge, since at present, there is no closed-for...
Arithmetic Asian or average price options deliver payoffs based on the average underlying price over...
We present new approximation formulas for local stochastic volatility models, possibly including L\u...
We present a simplified approach to the analytical approximation of the transition density related ...
We develop approximate formulae expressed in terms of elementary functions for the density, the pric...
AbstractWe develop approximate formulae expressed in terms of elementary functions for the density, ...
We develop approximate formulae expressed in terms of elementary functions for the density, the pric...
none2noWe present a simplified approach to the analytical approximation of the transition density re...
This paper proposes a general approximation method for the solutions to second-order parabolic parti...
In this article, we present a simplified means of pricing Asian options using partial differential...
This paper proposes a general approximation method for the solution to a second-order parabolic part...
In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario un...
This article explores the price of continuously sampled Asian options. For geometric Asian options,,...
In this article, we present a simplified means of pricing Asian options using partial differential e...
International audienceBecause of its very general formulation, the local volatility model does not h...
Arithmetic Asian options are difficult to price and hedge, since at present, there is no closed-for...
Arithmetic Asian or average price options deliver payoffs based on the average underlying price over...
We present new approximation formulas for local stochastic volatility models, possibly including L\u...
We present a simplified approach to the analytical approximation of the transition density related ...