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We present a study of the short maturity asymptotics for Asian options in ajump-diffusion model with a local volatility component, where the jumps aremodeled as a compound Poisson process which are later extended to L\'evy jumps,that includes the exponential L\'{e}vy model as a special case. Both fixed andfloating strike Asian options are considered. Explicit results are obtained forthe first-order asymptotics of the Asian options prices for a few popularmodels in the literature: the Merton jump-diffusion model, thedouble-exponential jump model, and the Variance Gamma model. We propose ananalytical approximation for Asian option prices which satisfies theconstraints from the short-maturity asymptotics, and test it against MonteCarlo simulations. The asymptotic results are in good agreement with numericalsimulations for sufficiently small maturity.

Asymptotics for Short Maturity Asian Options in a Jump-Diffusion model with Local Volatility