Sensitivities of Asian options in the Black-Scholes model
We propose analytical approximations for the sensitivities (Greeks) of the Asian options in the Black-Scholes model, following from a small maturity/volatility approximation for the option prices which has the exact short maturity limit, obtained using large deviations theory. Numerical tests demonstrate good agreement of the proposed approximation with alternative numerical simulation results for cases of practical interest. We also study the qualitative properties of Asian Greeks, including new results for Rho, the sensitivity with respect to changes in the risk-free rate, and Psi, the sensitivity with respect to the dividend yield. In particular we show that the Rho of a fixed-strike Asian option and the Psi of a floating-strike Asian option can change sign.
Code (0)
등록된 구현이 없습니다.
Tasks
SensitivitySimilar Papers 제목 키워드 기반
Subleading correction to the Asian options volatility in the Black-Scholes model
The short maturity limit $T\to 0$ for the implied volatility of an Asian option in the Black-Scholes model is determined by the large deviations property for the time-average of the geometric Brownian motion. In this not…
Stochastic Expansion for the Pricing of Asian and Basket Options
We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtai…
Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) mo…
AllThe evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the underlying stock follows a time changed …
Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
We present closed analytical approximations for the pricing of Asian basket spread options under the Black-Scholes model. The formulae are obtained by using a stochastic Taylor expansion around a log-normal proxy model a…
Numerical Integration