Bounds for the price of a European-style Asian option in a binary tree model
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Publication:2569027
DOI10.1016/j.ejor.2004.07.009zbMath1100.91048OpenAlexW1994081508MaRDI QIDQ2569027
Jan Dhaene, Griselda Deelstra, Michèle Vanmaele, Huguette Reynaerts
Publication date: 17 October 2005
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7606/1/gd-0017.pdf
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Related Items (6)
Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ Static super-replicating strategies for a class of exotic options ⋮ Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? ⋮ General lattice methods for arithmetic Asian options ⋮ Bounds for the price of discrete arithmetic Asian options
Cites Work
- The Pricing of Options and Corporate Liabilities
- The concept of comonotonicity in actuarial science and finance: theory.
- An easy computable upper bound for the price of an arithmetic Asian option
- Bounds for the price of discrete arithmetic Asian options
- The value of an Asian option
- Option pricing: A simplified approach
- Upper and lower bounds for sums of random variables
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