英文标题：
《Short Maturity Forward Start Asian Options in Local Volatility Models》
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作者：
Dan Pirjol, Jing Wang, Lingjiong Zhu
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最新提交年份：
2017
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英文摘要：
  We study the short maturity asymptotics for prices of forward start Asian options under the assumption that the underlying asset follows a local volatility model. We obtain asymptotics for the cases of out-of-the-money, in-the-money, and at-the-money, considering both fixed strike and floating Asian options. The exponential decay of the price of an out-of-the-money forward start Asian option is handled using large deviations theory, and is controlled by a rate function which is given by a double-layer optimization problem. In the Black-Scholes model, the calculation of the rate function is simplified further to the solution of a non-linear equation. We obtain closed form for the rate function, as well as its asymptotic behaviors when the strike is extremely large, small, or close to the initial price of the underlying asset.
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中文摘要：
在标的资产遵循局部波动模型的假设下，我们研究了远期亚洲期权价格的短期渐近性。考虑到固定行使期权和浮动亚式期权，我们得到了缺钱、有钱和有钱情况下的渐近解。利用大偏差理论处理无本金远期亚式期权价格的指数衰减，并由双层优化问题给出的利率函数控制。在Black-Scholes模型中，速率函数的计算进一步简化为非线性方程的解。我们得到了利率函数的闭合形式，以及当罢工非常大、非常小或接近标的资产初始价格时，其渐近行为。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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