# Short Maturity Asian Options for the CEV Model

## TL;DR

This paper derives and validates an analytical approximation for short maturity Asian options prices under the CEV model, demonstrating strong agreement with simulations and practical benchmarks.

## Contribution

It provides the first rigorous short maturity asymptotic analysis for Asian options within the CEV model, including an analytical pricing approximation.

## Key findings

- Analytical approximation matches Monte Carlo simulations
- Good numerical agreement with benchmark tests
- Applicable to practical option parameters

## Abstract

We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of Variance (CEV) model. We present an analytical approximation for the Asian options prices which has the appropriate short maturity asymptotics, and demonstrate good numerical agreement of the asymptotic results with the results of Monte Carlo simulations and benchmark test cases for option parameters relevant in practical applications.