On lower and upper bounds for Asian-type options: a unified approach
AbstractIn the context of dealing with financial risk management problems it is desirable to have accurate bounds for option prices in situations when pricing formulae do not exist in the closed form. A unified approach for obtaining upper and lower bounds for Asian-type options, including options on VWAP, is proposed in this paper. The bounds obtained are applicable to the continuous and discrete-time frameworks for the case of time-dependent interest rates. Numerical examples are provided to illustrate the accuracy of the bounds.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1309.2383.
Date of creation: Sep 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-26 (All new papers)
- NEP-RMG-2013-09-26 (Risk Management)
- NEP-SEA-2013-09-26 (South East Asia)
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- Jan Vecer & Mingxin Xu, 2004. "Pricing Asian options in a semimartingale model," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 170-175.
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- Antony William Stace, 2007. "A Moment Matching Approach To The Valuation Of A Volume Weighted Average Price Option," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 95-110.
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