Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4639534 | Journal of Computational and Applied Mathematics | 2013 | 18 Pages |
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
Authors
Paolo Foschi, Stefano Pagliarani, Andrea Pascucci,