@article{85ce6c12398c465e8555f99962031401,
title = "Implied volatility from asian options via monte carlo methods",
abstract = "We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this we propose the use of logarithmic derivatives instead of the classical approach. Our simulations document that the proposed method shows far better results than the classical approach. Furthermore we demonstrate how numerical results can be improved by localization.",
keywords = "Asian options, Calibration, Exotic options, Implied volatility, Local volatility, Monte Carlo simulation",
author = "Zhaojun Yang and Ewald, {Christian Oliver} and Yajun Xiao",
note = "Funding Information: The first author gratefully acknowledges grants from Chinese Social Science Fund (No. 06BJL022) and Natural Science Fund (No. 04JJ3009) of Hunan Province/China as well as support from the “Economic Opening and Trade Development” project, Philosophy and Social Science Innovation Foundation of Hunan University 985 Engineering. The second author gratefully acknowledges support from the research grant “Dependable adaptive systems and mathematical modeling”, Rheinland-Pfalz Excellence Cluster and DFG Grant 529817. Furthermore the second author would like to thank Ralf Korn and Olaf Menkens for many suggestions and fruitful discussions as well as an anonymous referee and the Managing Editor of IJTAF for many suggestions which helped to significantly improve the original article. The third author gratefully acknowledges a grant from the Graduate Program ”Finance and Monetary Economics” of the Goethe University Frankfurt.",
year = "2009",
month = mar,
doi = "10.1142/S021902490900518X",
language = "English",
volume = "12",
pages = "153--178",
journal = "International Journal of Theoretical and Applied Finance",
issn = "0219-0249",
number = "2",
}