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Short maturity options for Azéma–Yor martingales

Author

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  • Lingjiong Zhu

    (Department of Mathematics, Florida State University, 1017 Academic Way, Tallahassee, FL-32306, USA)

Abstract

A class of positive Azéma–Yor martingales was first introduced in the option pricing context by Peter Carr (2014). In this paper, we present a rigorous study of the short maturity asymptotics for Asian, upper barrier, lower barrier and European options with continuous-time averaging, under the assumption that the underlying asset follows a Azéma–Yor martingale.

Suggested Citation

  • Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
    • Handle: RePEc:wsi:ijfexx:v:02:y:2015:i:04:n:s2424786315500528
    DOI: 10.1142/S2424786315500528
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