Sensitivities Of Asian Options In The Black Scholes Model
Work
Year: 2018
Type: article
Abstract: 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 whic... more
Authors Dan Pirjol, Lingjiong Zhu
Institution Florida State University
Cites: 28
Cited by: 6
Related to: 10
FWCI: 1.097
Citation percentile (by year/subfield): 77.39
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Grant ID 1613164