Subleading Correction to the Asian Options Volatility in the Black-Scholes Model

By Dan Pirjol

Published 2024-07-06

Everscope rating

1379.1

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Asymptotic expansion. Problem types: Option pricing, Volatility modeling.

arXiv:2407.05142 · Paper rankings

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