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)

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Cites Work

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• 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