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Paper / 2023SMQ / 96078456772004
Sensitivities of Asian options in the Black-Scholes model
Dan Pirjol / Lingjiong Zhu
derivatives / option greeksResource overview

Sensitivities of Asian options in the Black-Scholes model

Paper2023

by Dan Pirjol, Lingjiong Zhu

Tags
derivativesoption greeksoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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