Foschi, Paolo; Pagliarani, Stefano; Pascucci, Andrea - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011
We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat...
