2000 character limit reached
Asian Option Pricing under Uncertain Volatility Model (1808.00656v1)
Published 2 Aug 2018 in q-fin.PR and math.AP
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.