USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS

DOI10.1017/asb.2014.6zbMath1290.91159OpenAlexW2130792093MaRDI QIDQ5419642

Jing Yao, Steven Vanduffel, Grégory Rayée, Griselda Deelstra

Publication date: 11 June 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2014.6

zbMATH Keywords

conditional expectationcontrol variatesstochastic clockAsian-style options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ Impact of Flexible Periodic Premiums on Variable Annuity Guarantees ⋮ An approximation method for risk aggregations and capital allocation rules based on additive risk factor models

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• Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
• General Lower Bounds for Arithmetic Asian Option Prices
• The Variance Gamma Process and Option Pricing
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

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