An easy computable upper bound for the price of an arithmetic Asian option
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Publication:1584514
DOI10.1016/S0167-6687(99)00051-7zbMATH Open0964.91021OpenAlexW2044115279MaRDI QIDQ1584514FDOQ1584514
Authors: R. Smith 
Publication date: 16 July 2001
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00051-7
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
- The value of an Asian option
- Martingales and arbitrage in multiperiod securities markets
- Non-additive measure and integral
- Martingales and stochastic integrals in the theory of continuous trading
- Comonotonicity, correlation order and premium principles
- Supermodular ordering and stochastic annuities
- Comonotonicity and maximal stop-loss premiums
- Title not available (Why is that?)
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
Cited In (36)
- Arithmetic Asian options under stochastic delay models
- Prices and sensitivities of Asian options: A survey
- Pricing of Asian-type and basket options via bounds
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- Bounds for the price of discrete arithmetic Asian options
- American-type basket option pricing: a simple two-dimensional partial differential equation
- A transform-based method for pricing Asian options under general two-dimensional models
- Pricing and hedging Asian basket spread options
- Static super-replicating strategies for a class of exotic options
- Consistent upper price bounds for exotic options
- Optimal portfolio problem with unknown dependency structure
- Upper and lower bounds for sums of random variables
- Some limiting properties of the bounds of the present value function of a life insurance portfolio
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- General Lower Bounds for Arithmetic Asian Option Prices
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- The concept of comonotonicity in actuarial science and finance: theory.
- FIX: the fear index -- measuring market fear
- Equity-linked pension schemes with guarantees
- Comonotonic asset prices in arbitrage-free markets
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- On an optimization problem related to static super-replicating strategies
- Lower and upper bounds for prices of Asian-type options
- Bounds for path-dependent options
- Exotic options under Lévy models: an overview
- Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
- Model-independent price bounds for catastrophic mortality bonds
- Bounds for in-progress floating-strike Asian options using symmetry
- Bounds for the price of a European-style Asian option in a binary tree model
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Does positive dependence between individual risks increase stop-loss premiums?
- Pricing rate of return guarantees in regular premium unit linked insurance
- Bounds for Asian basket options
- On Asian option pricing for NIG Lévy processes
- Pricing of arithmetic basket options by conditioning.
- The pricing of Asian options in uncertain volatility model
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