Analytic bounds and approximations for annuities and Asian options
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Publication:931209
DOI10.1016/j.insmatheco.2008.02.004zbMath1141.91550OpenAlexW3125738051MaRDI QIDQ931209
Luc Henrard, Steven Vanduffel, Zhaoning Shang, Emiliano A. Valdez, Jan Dhaene
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/analytic-bounds-and-approximations-for-annuities-and-asian-options(b02b2a08-1e30-4faf-99a9-c2953a20e2cb).html
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- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
- Upper and lower bounds for sums of random variables
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