Bounds for the price of discrete arithmetic Asian options
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Publication:2570028
DOI10.1016/j.cam.2005.01.027zbMath1131.91027OpenAlexW2029656177MaRDI QIDQ2570028
Griselda Deelstra, Jan Dhaene, Michèle Vanmaele, Marc J. Goovaerts, Jan Liinev
Publication date: 26 October 2005
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2005.01.027
Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic processes (60Gxx)
Related Items (32)
Risk bounds for factor models ⋮ Arithmetic Asian Options under Stochastic Delay Models ⋮ Pricing and hedging Asian basket spread options ⋮ PRICING ASIAN OPTIONS WITH CORRELATORS ⋮ Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes ⋮ Geometric Asian option pricing in general affine stochastic volatility models with jumps ⋮ Pricing Asian options via compound gamma and orthogonal polynomials ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ General Lower Bounds for Arithmetic Asian Option Prices ⋮ Pricing of Asian-Type and Basket Options via Bounds ⋮ SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL ⋮ Pricing of arithmetic basket options by conditioning. ⋮ On the duality principle in option pricing: semimartingale setting ⋮ On an optimization problem related to static super-replicating strategies ⋮ Static super-replicating strategies for a class of exotic options ⋮ Bounds for Asian basket options ⋮ Prices and sensitivities of Asian options: A survey ⋮ Quantifying the error of convex order bounds for truncated first moments ⋮ Accurate closed-form approximation for pricing Asian and basket options ⋮ Lower and upper bounds for prices of Asian-type options ⋮ Optimal approximations for risk measures of sums of lognormals based on conditional expectations ⋮ Bounds for in-progress floating-strike Asian options using symmetry ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ Equivalence of floating and fixed strike Asian and lookback options ⋮ Moment matching approximation of Asian basket option prices ⋮ Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables ⋮ Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior ⋮ Default probabilities of a holding company, with complete and partial information ⋮ Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options ⋮ Asian option pricing with orthogonal polynomials ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models ⋮ Bounds for the price of a European-style Asian option in a binary tree model
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