Asymptotic approach to the pricing of geometric asian options under the CEV model

2016 ◽  
Vol 91 ◽  
pp. 544-548 ◽  
Author(s):  
Min-Ku Lee
Keyword(s):  
Asian Options ◽  
Asymptotic Approach ◽  
Cev Model

scholarly journals SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL

2018 ◽  
Vol 33 (2) ◽  
pp. 258-290 ◽  
Author(s):  
Dan Pirjol ◽  
Lingjiong Zhu
Keyword(s):  
Analytical Approximation ◽  
Time Averaging ◽  
Asian Options ◽  
Option Prices ◽  
Asymptotic Results ◽  
Cev Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Practical Applications ◽  
Rigorous Study

We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the constant elasticity of variance (CEV) model. The leading order short maturity limit of the Asian option prices under the CEV model is obtained in closed form. We propose an analytical approximation for the Asian options prices which reproduces the exact short maturity asymptotics, and demonstrate good numerical agreement of the asymptotic results with Monte Carlo simulations and benchmark test cases for option parameters relevant for practical applications.

On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities

2017 ◽  
Vol 20 (01) ◽  
pp. 1750005
Author(s):  
Jilong Chen ◽  
Christian Ewald
Keyword(s):  
Upper Bounds ◽  
Stochastic Volatility Model ◽  
Asian Options ◽  
Convenience Yield ◽  
Yield Model ◽  
Cev Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Hedging Strategies ◽  
Volatility Model

In this paper, we investigate the applicability of the comonotonicity approach in the context of various benchmark models for equities and commodities. Instead of classical Lévy models as in Albrecher et al. we focus on the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and Schwartz’ 1997 stochastic convenience yield model. We show how the technical difficulties of inverting the distribution function of the sum of the comonotonic random vector can be overcome and that the method delivers rather tight upper bounds for the prices of Asian Options in these models, at least for strikes which are not too large. As a by-product the method delivers super-hedging strategies which can be easily implemented.

Efficient pricing of Asian options by the PDE approach

2004 ◽  
Vol 8 (2) ◽  
pp. 55-63 ◽  
Author(s):  
François Dubois ◽  
Tony Lelièvre
Keyword(s):  
Asian Options

Robust numerical methods for PDE models of Asian options

1997 ◽  
Vol 1 (2) ◽  
pp. 39-78 ◽  
Author(s):  
R Zvan ◽  
Peter Forsyth ◽  
K Vetzal
Keyword(s):  
Numerical Methods ◽  
Asian Options

Fixed-Strike European Arithmetic Asian Options: A Comment

2009 ◽  
Author(s):  
Carole Bernard ◽  
Phelim P. Boyle ◽  
William Gornall
Keyword(s):  
Asian Options
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