A note on the implied volatility of floating strike Asian options. (English) Zbl 1432.91118
Summary: 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.
MSC:
| 91G20 | Derivative securities (option pricing, hedging, etc.) |
| 60H07 | Stochastic calculus of variations and the Malliavin calculus |
| 91G60 | Numerical methods (including Monte Carlo methods) |
Keywords:
floating strike Asian options; Kirk’s formula; Malliavin calculus; derivative operator in Malliavin calculus sense; Skorohod integralReferences:
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