英文标题：
《Short Maturity Asian Options in Local Volatility Models》
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作者：
Dan Pirjol, Lingjiong Zhu
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最新提交年份：
2016
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英文摘要：
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 a local volatility model. The asymptotics for out-of-the-money, in-the-money, and at-the-money cases are derived, considering both fixed strike and floating strike Asian options. The asymptotics for the out-of-the-money case involves a non-trivial variational problem which is solved completely. We present an analytical approximation for Asian options prices, and demonstrate good numerical agreement of the asymptotic results with the results of Monte Carlo simulations and benchmark test cases in the Black-Scholes model for option parameters relevant in practical applications.
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中文摘要：
在标的资产遵循局部波动模型的假设下，我们对具有连续时间平均的亚式期权的短期到期渐近性进行了严格的研究。在考虑固定行使和浮动行使亚式期权的情况下，推导出了货币外、货币内和货币内情况下的渐近解。缺钱情况的渐近性涉及一个完全解决的非平凡变分问题。我们给出了亚式期权价格的一种解析近似，并在实际应用中证明了渐近结果与Black-Scholes模型中期权参数的蒙特卡罗模拟和基准测试结果的良好数值一致性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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