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arXiv · 1808.00656

Asian Option Pricing under Uncertain Volatility Model

Yuecai Han·Chunyang Liu
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Abstract

In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and cutting the obtained Black-Scholes-Barenblatt equation into two Black-Scholes-like equations, we obtain an approximation method to solve the fully nonlinear PDE.

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Yuecai Han, Chunyang Liu. 2018-08-02. Asian Option Pricing under Uncertain Volatility Model. https://arxiv.org/abs/1808.00656

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