A note on the implied volatility of floating strike Asian options

  • Authors
  • Alòs, E.; León, J.A.
  • UPF authors
  • ALOS ALCALDE, ELISA;
  • Type
  • Articles de recerca
  • Journal títle
  • Decisions in Economics and Finance
  • Publication year
  • 2019
  • Volume
  • 42
  • Number
  • 2
  • Pages
  • 743-758
  • ISSN
  • 1593-8883
  • Publication State
  • Publicat
  • 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.
  • Complete citation
  • Alòs, E.; León, J.A.. A note on the implied volatility of floating strike Asian options. Decisions in Economics and Finance 2019; 42(2): 743-758.
Bibliometric indicators
  • 2 times cited Scopus
  • 1 times cited WOS
  • Índex Scimago de 0.198(2019)