Bounds for the price of discrete arithmetic Asian options
نویسندگان
چکیده
منابع مشابه
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...
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We develop accurate analytical pricing formulae for discretely and continuously monitored arithmetic Asian options under general stochastic asset models, including exponential Lévy models, stochastic volatility models, and the constant elasticity of variance diffusion. The payoff of the arithmetic Asian option depends on the arithmetic average price of the underlying asset monitored over a pre-...
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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...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2006
ISSN: 0377-0427
DOI: 10.1016/j.cam.2005.01.027