Fast narrow bounds on the value of Asian options
نویسنده
چکیده
We consider the problem of finding bounds on the value of fixed-strike and floatingstrike Asian options. A good lower bound for both types was derived in Rogers & Shi (1995). We provide an alternative derivation, which leads to a simpler expression for the bound, and also to the bound given by Curran (1992) for fixed-strike options; we derive an analogous bound for floating-strike options. Combining these results with a new upper bound allows the accurate valuation of fixed-strike and floating-strike Asian options for typical parameter values.
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