{"title":"Some asymptotics for short maturity Asian options","authors":"Humayra Shoshi, Indranil SenGupta","doi":"10.1080/15326349.2024.2394818","DOIUrl":null,"url":null,"abstract":"Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this article, we use the large deviations theory for the analys...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"8 1","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastic Models","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/15326349.2024.2394818","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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Abstract
Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this article, we use the large deviations theory for the analys...
期刊介绍：
Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.
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