Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

QUANTITATIVE FINANCE(2024)

引用 0|浏览7
暂无评分
摘要
We present a study of the short maturity asymptotics for Asian options in a jump-diffusion model with a local volatility component, where the jumps are modeled as a compound Poisson process. The analysis for out-of-the-money Asian options is extended to models with Levy jumps, including the exponential Levy model as a special case. Both fixed and floating strike Asian options are considered. Explicit results are obtained for the first-order asymptotics of the Asian options prices for a few popular models in the literature: the Merton jump-diffusion model, the double-exponential jump model, and the Variance Gamma model. We propose an analytical approximation for Asian option prices which satisfies the constraints from the short-maturity asymptotics, and test it against Monte Carlo simulations. The asymptotic results are in good agreement with numerical simulations for sufficiently small maturity.
更多
查看译文
关键词
Asian options,Short maturity,Levy jumps,Local volatility
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要