General Lower Bounds for Arithmetic Asian Option Prices
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Cites work
- Bounds for the price of discrete arithmetic Asian options
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Robust hedging of barrier options.
- Robust hedging of the lookback option
- Static super-replicating strategies for a class of exotic options
- Static-arbitrage optimal subreplicating strategies for basket options
- Static-arbitrage upper bounds for the prices of basket options
- The value of an Asian option
- The Variance Gamma Process and Option Pricing
- Time reversal on Lévy processes
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
Cited in
(28)- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- An easy computable upper bound for the price of an arithmetic Asian option
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
- Risk aggregation with dependence uncertainty
- Comonotonic asset prices in arbitrage-free markets
- Bounds for the price of a European-style Asian option in a binary tree model
- Bounds for the price of discrete arithmetic Asian options
- Model-independent price bounds for catastrophic mortality bonds
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Arithmetic Asian options under stochastic delay models
- An efficient transform method for Asian option pricing
- Pricing of Asian-type and basket options via bounds
- Model-independent bounds for option prices -- a mass transport approach
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Most-likely-path in Asian option pricing under local volatility models
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- On an optimization problem related to static super-replicating strategies
- Lower and upper bounds for prices of Asian-type options
- Consistent upper price bounds for exotic options
- Pricing Asian options with correlators
- Impact of flexible periodic premiums on variable annuity guarantees
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
- Bounds for path-dependent options
- Analytic bounds and approximations for annuities and Asian options
- Bounds for Asian basket options
- Lower bounds for densities of Asian type stochastic differential equations
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