General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

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

zbMATH Keywords

Fourier transformLévy processesstochastic volatility modelsarithmetic Asian optionsdiscrete averageCEV diffusioncontinuous average

Mathematics Subject Classification ID

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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