Asian Option Pricing under an Uncertain Volatility Model

In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario under an uncertain volatility model. We derive a procedure to approximate Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and splitting the obtained Black–Scholes–Barenblatt equation into two Black–Scholes-like equations, we obtain an approximation method to solve a fully nonlinear PDE.