Authors: Elisa Alòs and Jorge A. León
Decisions in Economics and Finance, Vol. 42, No 2, 743-758, December, 2019In 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.