General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
From MaRDI portal
Publication:2806817
DOI10.1287/moor.2015.0739zbMath1336.91074OpenAlexW3124457230MaRDI QIDQ2806817
Gianluca Fusai, Ioannis Kyriakou
Publication date: 19 May 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/13241/1/AsianBound_FK.pdf
Fourier transformLévy processesstochastic volatility modelsarithmetic Asian optionsdiscrete averageCEV diffusioncontinuous average
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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