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