Article ID Journal Published Year Pages File Type
4639534 Journal of Computational and Applied Mathematics 2013 18 Pages PDF
Abstract

We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat kernel expansion method in the framework of hypoelliptic, not uniformly parabolic, partial differential equations.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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