Pricing of Asian-Type and Basket Options via Bounds

DOI10.1137/S0040585X97T987995zbMath1358.91100arXiv1612.08767MaRDI QIDQ2967982

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Publication date: 9 March 2017

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.08767

zbMATH Keywords

Lévy processeslower and upper boundsAsian optionsbasket optionsvolume-weighted average prices (VWAP)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• An easy computable upper bound for the price of an arithmetic Asian option
• On Asian option pricing for NIG Lévy processes
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• EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL
• A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
• General Lower Bounds for Arithmetic Asian Option Prices
• Pricing and Hedging Spread Options
• Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results
• An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
• Monte Carlo valuation of American options
• On a new approach to calculating expectations for option pricing
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The pricing of basket-spread options
• On Moments of Pitman Estimators: The Case of Fractional Brownian Motion
• BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS

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