Some asymptotics for short maturity Asian options

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2024-09-05 DOI:10.1080/15326349.2024.2394818

Humayra Shoshi, Indranil SenGupta

引用次数: 0

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...

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短期亚洲期权的一些渐近线

大多数现有的亚洲期权定价方法在小期限和小波动率的情况下效率较低。在本文中，我们利用大偏差理论分析了亚洲期权的定价方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

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.