A note on the implied volatility of floating strike Asian options

  • Authors: Elisa Alòs.
  • Statistics
  • Decisions in Economics and Finance

In this paper, we study the short-time behavior of the implied volatility for short-time floating strike Asian options. Our method is based on Malliavin calculus techniques and allows us to construct an approximation formula for the corresponding option prices. Numerical examples are given.

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