Most-Likely-Path In Asian Option Pricing Under Local Volatility Models
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DOI: 10.1142/S0219024918500292
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Cited by:
- Dan Pirjol, 2020. "Asymptotic expansion for the Hartman-Watson distribution," Papers 2001.09579, arXiv.org, revised Feb 2021.
- Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019. "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 321-349, December.
- Dan Pirjol, 2024. "Subleading correction to the Asian options volatility in the Black-Scholes model," Papers 2407.05142, arXiv.org, revised Aug 2024.
- Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity Asian options in local-stochastic volatility models," Papers 2409.08377, arXiv.org.
- Dan Pirjol & Lingjiong Zhu, 2023. "Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility," Papers 2308.15672, arXiv.org, revised Feb 2024.
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Keywords
Asian option pricing; asymptotic expansion; exotic option; large deviation theory; most-likely-path;All these keywords.
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