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A note on the implied volatility of floating strike Asian options |
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| Authors: | Alòs Elisa León Jorge A. |
| Affiliation: | 1.Dpt. d’Economia i Empresa and Barcelona GSE, Universitat Pompeu Fabra, c/Ramon Trias Fargas, 25-27, 08005, Barcelona, Spain ;2.Control Automático, CINVESTAV-IPN, Apartado Postal 14-740, 07000, Mexico City, Mexico ; |
| Abstract: | 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... |
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