A note on the implied volatility of floating strike Asian options

Elisa Alòs and Jorge A. León ()
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Elisa Alòs: Universitat Pompeu Fabra
Jorge A. León: CINVESTAV-IPN

Decisions in Economics and Finance, 2019, vol. 42, issue 2, No 16, 743-758

Abstract: Abstract In this paper, we study the short-time behavior of the implied volatility for short-time floating strike Asian options. Our method is based on Malliavin calculus techniques and allows us to construct an approximation formula for the corresponding option prices. Numerical examples are given.

Keywords: Floating strike Asian options; Kirk’s formula; Malliavin calculus; Derivative operator in the Malliavin calculus sense; Skorohod integral; 91B28; 91B70; 60H07; G12; G13 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10203-019-00239-w

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