Short maturity options for Azéma–Yor martingales

Lingjiong Zhu ()
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Lingjiong Zhu: Department of Mathematics, Florida State University, 1017 Academic Way, Tallahassee, FL-32306, USA

International Journal of Financial Engineering (IJFE), 2015, vol. 02, issue 04, 1-32

Abstract: A class of positive Azéma–Yor martingales was first introduced in the option pricing context by Peter Carr (2014). In this paper, we present a rigorous study of the short maturity asymptotics for Asian, upper barrier, lower barrier and European options with continuous-time averaging, under the assumption that the underlying asset follows a Azéma–Yor martingale.

Keywords: Option pricing; short maturity; Azéma–Yor martingales; large deviations; variational problem (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1142/S2424786315500528

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