Discrete sums of geometric Brownian motions, annuities and Asian options
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2016
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2016.05.020