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- W2887958353 abstract "In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and cutting the obtained Black-Scholes-Barenblatt equation into two Black-Scholes-like equations, we obtain an approximation method to solve the fully nonlinear PDE." @default.
- W2887958353 created "2018-08-22" @default.
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- W2887958353 date "2018-08-02" @default.
- W2887958353 modified "2023-09-27" @default.
- W2887958353 title "Asian Option Pricing under Uncertain Volatility Model" @default.
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