Asian Option Pricing under Uncertain Volatility Model
Pricing of Securities
2018-08-03 v1 Analysis of PDEs
Abstract
In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and cutting the obtained Black-Scholes-Barenblatt equation into two Black-Scholes-like equations, we obtain an approximation method to solve the fully nonlinear PDE.
Keywords
Cite
@article{arxiv.1808.00656,
title = {Asian Option Pricing under Uncertain Volatility Model},
author = {Yuecai Han and Chunyang Liu},
journal= {arXiv preprint arXiv:1808.00656},
year = {2018}
}
Comments
19pages