On lower and upper bounds for Asian-type options: a unified approach
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References listed on IDEAS
- Lemmens, D. & Liang, L.Z.J. & Tempere, J. & De Schepper, A., 2010. "Pricing bounds for discrete arithmetic Asian options under Lévy models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5193-5207.
- Jan Vecer & Mingxin Xu, 2004. "Pricing Asian options in a semimartingale model," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 170-175.
- Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
- Michael Curran, 1994. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, INFORMS, vol. 40(12), pages 1705-1711, December.
- H. Albrecher & P. A. Mayer & W. Schoutens, 2008. "General Lower Bounds for Arithmetic Asian Option Prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 123-149.
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- Alexander Buryak & Ivan Guo, 2014. "Effective and simple VWAP option pricing model," Papers 1407.7315, arXiv.org.
- Andrew Lyasoff, 2016. "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, vol. 20(4), pages 1061-1096, October.
- repec:wsi:ijtafx:v:17:y:2014:i:06:n:s0219024914500368 is not listed on IDEAS
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-26 (All new papers)
- NEP-CWA-2013-09-26 (Central & Western Asia)
- NEP-RMG-2013-09-26 (Risk Management)
- NEP-SEA-2013-09-26 (South East Asia)
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