Pricing of Asian-type and basket options via bounds

DOI10.1137/S0040585X97T987995MaRDI QIDQ2967982zbMATHFDO

Authors

Publication date 9 March 2017

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.08767

zbMATH Keywords

basket optionslower and upper boundsAsian optionsvolume-weighted average prices (VWAP)Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Abstract: This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket and options on the volume-weighted average price. We demonstrate that in cases under discussion lower bounds allow for the dimensionality of the problem to be reduced and that these methods provide reasonable approximations to the price of the option. Keywords: Asian options, Basket options, Lower and Upper bounds, Volume-weighted average prices (VWAP), Levy processes.

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Cites work

• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
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Cited in

(8)

• The pricing of basket options: a weak convergence approach
• Lower and upper bounds for prices of Asian-type options
• Bounds for Asian basket options
• Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
• Sharp Upper and Lower Bounds for Basket Options
• Static-arbitrage upper bounds for the prices of basket options
• Accurate closed-form approximation for pricing Asian and basket options
• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations

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