Analytic bounds and approximations for annuities and Asian options

Analytic bounds and approximations for annuities and Asian options

Even in case of the Brownian motion as most natural rate of return model it appears too difficult to obtain analytic expressions for most risk measures of constant continuous annuities. In literature so-called comonotonic approximations have been proposed but these still require the evaluation of integrals. In this paper we show that these integrals can sometimes be computed, and we obtain expl...

Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes

We derive efficient and accurate analytical pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. We extend the conditioning variable approach to derive the lower bound on the Asian option price and construct a sharp upper bound based on the lower bound. We also consider the general partially exact and bounded (PEB) approximations, which incl...

Bounds for the price of discrete arithmetic Asian options

In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas, Dhaene and Goovaerts (2000), and additionally, the ideas of Roger...

Model-Independent Bounds for Asian Options: A Dynamic Programming Approach

Bounds for in-progress floating-strike Asian options using symmetry

This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound coincides with the true price until after the ave...