Pricing of arithmetic basket options by conditioning.
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Publication:1430672
DOI10.1016/j.insmatheco.2003.11.002zbMath1068.91030OpenAlexW1994504695MaRDI QIDQ1430672
Griselda Deelstra, Michèle Vanmaele, Jan Liinev
Publication date: 27 May 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7600/1/gd-0014.pdf
comonotonicitymoment matchingbasket optionBlack and Scholes modelAsian basket optionanalytical bounds
Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- An easy computable upper bound for the price of an arithmetic Asian option
- Bounds for the price of discrete arithmetic Asian options
- Approximated moment-matching dynamics for basket-options pricing
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
- Upper and lower bounds for sums of random variables
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