Asymptotic approach to the pricing of geometric asian options under the CEV model

Min-Ku Lee

Chaos, Solitons & Fractals, 2016, vol. 91, issue C, 544-548

Abstract: This paper studies the pricing of Asian options whose payoffs depend on the average value of an underlying asset during the period to a maturity. Since the Asian option is not so sensitive to the value of underlying asset, the possibility of manipulation is relatively small than the other options such as European vanilla and barrier options. We derive the pricing formula of geometric Asian options under the constant elasticity of variance (CEV) model that is one of local volatility models, and investigate the implication of the CEV model for geometric Asian options.

Keywords: Geometric asian option; Constant elasticity of variance; Asymptotics; Option pricing (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:91:y:2016:i:c:p:544-548

DOI: 10.1016/j.chaos.2016.07.013

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