Approximations for Asian options in local volatility models
β Scribed by Paolo Foschi; Stefano Pagliarani; Andrea Pascucci
- Book ID
- 119211298
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 777 KB
- Volume
- 237
- Category
- Article
- ISSN
- 0377-0427
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing formula for forwardβstarting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula could induce large pricing errors or
## Abstract By approximating the distribution of the sum of correlated lognormals with some logβextendedβskewβnormal distribution, we present closedβform approximation formulae for pricing both Asian and basket options. Numerical comparison shows that our formulae provide both computational simplic