Analytic bounds and approximations for annuities and Asian options
type: Item
instance of: scholarly article
title: Analytic bounds and approximations for annuities and Asian options
zbMATH Open document ID: 1141.91550
author: Steven Vanduffel
author: Zhaoning Shang
author: Luc Henrard
author: Emiliano A. Valdez
author: J. Dhaene
published in: Insurance Mathematics \& Economics
publication date: 2008-06-25T00:00:00Z
full work available at URL: analytic-bounds-and-approximations-for-annuities-and-asian-options(b02b2a08-1e30-4faf-99a9-c2953a20e2cb).html
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5292550
zbMATH Keywords: Asian option
zbMATH Keywords: Brownian motion
zbMATH Keywords: analytic
zbMATH Keywords: closed-form
zbMATH Keywords: lower bound
zbMATH Keywords: annuity
zbMATH Keywords: fixed strike
zbMATH Keywords: continuously sampled
MaRDI profile type: Publication
OpenAlex ID: W3125738051
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DOI: 10.1016/J.INSMATHECO.2008.02.004
description: scientific article; zbMATH DE number 5292550