Asian Option Pricing under Uncertain Volatility Model

Yuecai Han and Chunyang Liu

Papers from arXiv.org

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

Date: 2018-08
New Economics Papers: this item is included in nep-sea
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