Subleading Correction to the Asian Options Volatility in the Black-Scholes Model
The study improves the pricing accuracy of Asian options by deriving the subleading correction to the implied volatility in the Black-Scholes model, which is determined by the large deviations property for the time-average of the geometric Brownian motion.
Featured in No. 56 on 10 Jul 2024 · 4 days after release · 3 citations today · published in International Journal of Theoretical and Applied Finance
- Released
- 6 Jul 2024
- First featured
- No. 56 · 10 Jul 2024
- Citations (Semantic Scholar)
- 3
- Influential citations
- 0
- Published in
- International Journal of Theoretical and Applied Finance
- Shares when featured
- 6
- Identifier
- doi:10.1142/s021902492350005x
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).