Resumen de Approximations for Asian options in local volatility models

Paolo Foschi, Stefano Pagliarani, Andrea Pascucci

• 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 kernel expansion method in the framework of hypoelliptic, not uniformly parabolic, partial differential equations.