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A note on the implied volatility of floating strike Asian options

Author

Listed:
  • Elisa Alòs

    (Universitat Pompeu Fabra)

  • Jorge A. León

    (CINVESTAV-IPN)

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.

Suggested Citation

  • Elisa Alòs & Jorge A. León, 2019. "A note on the implied volatility of floating strike Asian options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 743-758, December.
    • Handle: RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00239-w
    DOI: 10.1007/s10203-019-00239-w
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    References listed on IDEAS

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    1. Fred Benth & Nils Detering, 2015. "Pricing and hedging Asian-style options on energy," Finance and Stochastics, Springer, vol. 19(4), pages 849-889, October.
    2. Elisa Alòs & Jorge León & Josep Vives, 2007. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, vol. 11(4), pages 571-589, October.
    3. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
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