An easy computable upper bound for the price of an arithmetic Asian option
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Publication:1584514
DOI10.1016/S0167-6687(99)00051-7zbMath0964.91021OpenAlexW2044115279MaRDI QIDQ1584514
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
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Comonotonicity, correlation order and premium principles
- Supermodular ordering and stochastic annuities
- Non-additive measure and integral
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
- The value of an Asian option
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