Asian Option Pricing under an Uncertain Volatility Model

Yuecai Han and Chunyang Liu

Mathematical Problems in Engineering, 2020, vol. 2020, 1-10

Abstract:

In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario under an uncertain volatility model. We derive a procedure to approximate Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and splitting the obtained Black–Scholes–Barenblatt equation into two Black–Scholes-like equations, we obtain an approximation method to solve a fully nonlinear PDE.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:4758052

DOI: 10.1155/2020/4758052

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