BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS
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Publication:5369446
DOI10.1017/S1446181115000231zbMath1373.60082MaRDI QIDQ5369446
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Publication date: 17 October 2017
Published in: The ANZIAM Journal (Search for Journal in Brave)
Fourier transformcharacteristic functionlower boundinverse Fourier transformAsian optionexponential damping
Processes with independent increments; Lévy processes (60G51) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Lower and upper bounds for prices of Asian-type options
- Prices and sensitivities of Asian options: A survey
- Valuing Asian options using the finite element method and duality techniques
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- Option pricing when underlying stock returns are discontinuous
- A characterization of stable processes
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