{"title":"Stochastic expansion for the pricing of Asian options","authors":"Fabien Le Floc'h","doi":"arxiv-2402.17684","DOIUrl":null,"url":null,"abstract":"We present closed analytical approximations for the pricing of Asian options\nwith discrete averaging under the Black-Scholes model with time-dependent\nparameters. The formulae are obtained by using a stochastic Taylor expansion\naround a log-normal proxy model and are found to be highly accurate in\npractice.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2402.17684","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We present closed analytical approximations for the pricing of Asian options
with discrete averaging under the Black-Scholes model with time-dependent
parameters. The formulae are obtained by using a stochastic Taylor expansion
around a log-normal proxy model and are found to be highly accurate in
practice.
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