Bounds for the price of discrete arithmetic Asian options

DOI10.1016/J.CAM.2005.01.027MaRDI QIDQ2570028zbMATH OpenOpenAlexFDO

Authors Michèle Vanmaele, Griselda Deelstra, J. Dhaene, Jan Liinev, Marc J. Goovaerts

Publication date 26 October 2005

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2005.01.027

zbMATH Keywords

hedginglower and upper boundssums of dependent random variables

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• An easy computable upper bound for the price of an arithmetic Asian option
• Approximated moment-matching dynamics for basket-options pricing
• Bounds for the price of a European-style Asian option in a binary tree model
• Equivalence of floating and fixed strike Asian and lookback options
• scientific article; zbMATH DE number 4041570 (Why is no real title available?)
• scientific article; zbMATH DE number 1978949 (Why is no real title available?)
• On Asian option pricing for NIG Lévy processes
• On the distributional distance between the lognormal LIBOR and swap market models
• On the equivalence of floating- and fixed-strike Asian options
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• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The pricing of options and corporate liabilities
• The value of an Asian option
• Upper and lower bounds for sums of random variables
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited in

(38)

• Pricing of arithmetic basket options by conditioning.
• An easy computable upper bound for the price of an arithmetic Asian option
• Pricing Asian options via compound gamma and orthogonal polynomials
• Risk bounds for factor models
• Bounds for in-progress floating-strike Asian options using symmetry
• Equivalence of floating and fixed strike Asian and lookback options
• Default probabilities of a holding company, with complete and partial information
• Bounds for the price of a European-style Asian option in a binary tree model
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• Arithmetic Asian options under stochastic delay models
• Pricing of Asian-type and basket options via bounds
• General Lower Bounds for Arithmetic Asian Option Prices
• Accurate closed-form approximation for pricing Asian and basket options
• scientific article; zbMATH DE number 1978949 (Why is no real title available?)
• Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Sensitivities of Asian options in the Black-Scholes model
• On an optimization problem related to static super-replicating strategies
• Lower and upper bounds for prices of Asian-type options
• Pricing Asian options with correlators
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
• Asian option pricing with orthogonal polynomials
• Short maturity forward start Asian options in local volatility models
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
• A transform-based method for pricing Asian options under general two-dimensional models
• Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
• Valuing vulnerable Asian options under contagion dynamics
• Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
• Pricing and hedging Asian basket spread options
• On the duality principle in option pricing: semimartingale setting
• Static super-replicating strategies for a class of exotic options
• Analytic bounds and approximations for annuities and Asian options
• Bounds for Asian basket options
• Prices and sensitivities of Asian options: A survey
• Quantifying the error of convex order bounds for truncated first moments
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Moment matching approximation of Asian basket option prices

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