Lower and upper bounds for prices of Asian-type options

DOI10.1134/S0081543814080136zbMath1320.91145arXiv1309.2383MaRDI QIDQ492182

Nino E. Kordzakhia, Alexander Novikov

Publication date: 20 August 2015

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.2383

Mathematics Subject Classification ID

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

Related Items (8)

A General Framework for Pricing Asian Options Under Markov Processes ⋮ Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ An analytical approximation for pricing VWAP options ⋮ Pricing Asian options with stochastic convenience yield and jumps ⋮ Pricing of Asian-Type and Basket Options via Bounds ⋮ BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ Computable Error Bounds of Laplace Inversion for Pricing Asian Options ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

Cites Work

• Accurate pricing formulas for Asian options
• Bounds for the price of discrete arithmetic Asian options
• A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
• General Lower Bounds for Arithmetic Asian Option Prices
• Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results
• Pricing Asian options in a semimartingale model
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
• Unnamed Item
• Unnamed Item

This page was built for publication: Lower and upper bounds for prices of Asian-type options