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A note on the implied volatility of floating strike Asian options

  • Elisa Alòs
  • Jorge A. LeónEmail author
Article
  • 41 Downloads

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 

Mathematical Subject Classification

91B28 91B70 60H07 

JEL code

G12 G13 

Notes

References

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Copyright information

© Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES) 2019

Authors and Affiliations

  1. 1.Dpt. d’Economia i Empresa and Barcelona GSEUniversitat Pompeu FabraBarcelonaSpain
  2. 2.Control AutomáticoCINVESTAV-IPNMexico CityMexico

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