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An easy computable upper bound for the price of an arithmetic Asian option

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Author Info
Simon, S.
Goovaerts, M. J.
Dhaene, J.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V8N-408TS5J-6/2/f4347dc6b0067c5f1639cd71656083d6
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Publisher Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 26 (2000)
Issue (Month): 2-3 (May)
Pages: 175-183
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Handle: RePEc:eee:insuma:v:26:y:2000:i:2-3:p:175-183

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. Griselda Deelstra & Alexandre Petkovic & Michèle Vanmaele, 2008. "Pricing and Hedging Asian Basket Spread Options," ECARES Working Papers 2008_004, Université Libre de Bruxelles, Ecares. [Downloadable!]
  2. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
  3. Xia Su, 2006. "Hedging Basket Options by Using a Subset of Underlying Assets," Bonn Econ Discussion Papers bgse14_2006, University of Bonn, Germany. [Downloadable!]
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This page was last updated on 2009-12-3.

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