Bounds for Asian basket options

DOI10.1016/j.cam.2006.12.017zbMath1151.91500OpenAlexW2109808911MaRDI QIDQ932705

Ibrahima Diallo, Griselda Deelstra, Michèle Vanmaele

Publication date: 11 July 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.12.017

zbMATH Keywords

non-comonotonic sumAsian basket optionsum of non-independent random variables

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65)

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