February 27, 2024Open Access

Stochastic expansion for the pricing of Asian options

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Abstract

We present closed analytical approximations for the pricing of Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a stochastic Taylor expansion around a log-normal proxy model and are found to be highly accurate in practice.

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Fabien Le Floc’h (Tue,) studied this question.

synapsesocial.com/papers/68e77797b6db6435876ec134 https://doi.org/https://doi.org/10.48550/arxiv.2402.17684

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