An easy computable upper bound for the price of an arithmetic Asian option
نویسندگان
چکیده
منابع مشابه
An Easy Computable Upper Bound for the Price of an Arithmetic Asian Option
Using some results from risk theory on stop-loss order and comonotone risks, we show in this paper that the price of an arithmetic Asian option can be bounded from above by the price of a portfolio of European call options.
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2000
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(99)00051-7