Bounds for the price of discrete arithmetic Asian options

DOI10.1016/j.cam.2005.01.027zbMath1131.91027MaRDI QIDQ2570028

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

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

hedging; lower and upper bounds; sums of dependent random variables

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91G20: Derivative securities (option pricing, hedging, etc.)

91B26: Auctions, bargaining, bidding and selling, and other market models

60Gxx: Stochastic processes

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