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Asian Option Pricing under an Uncertain Volatility Model
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-04-21
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario under an uncertain volatility model.
We derive a procedure to approximate Asian option prices with a small volatility interval.
By imposing additional conditions on the boundary condition and splitting the obtained Black–Scholes–Barenblatt equation into two Black–Scholes-like equations, we obtain an approximation method to solve a fully nonlinear PDE.
American Psychological Association (APA)
Han, Yuecai& Liu, Chunyang. 2020. Asian Option Pricing under an Uncertain Volatility Model. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1195402
Modern Language Association (MLA)
Han, Yuecai& Liu, Chunyang. Asian Option Pricing under an Uncertain Volatility Model. Mathematical Problems in Engineering No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1195402
American Medical Association (AMA)
Han, Yuecai& Liu, Chunyang. Asian Option Pricing under an Uncertain Volatility Model. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1195402
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195402