| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077181 | Insurance: Mathematics and Economics | 2008 | 9 Pages |
Abstract
Next, we show how these results can be used to obtain fully analytic expressions for lower and upper bounds for the price of a continuously sampled European-style Asian option with fixed exercise price. These analytic lower bound prices are as sharp as those from [Rogers, L.C.G., Shi, Z., 1995. The value of an Asian option. J. Appl. Probab. 32, 1077-1088], if not sharper, but in contrast do not require any longer the evaluation of a two-dimensional or a one-dimensional integral.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Steven Vanduffel, Zhaoning Shang, Luc Henrard, Jan Dhaene, Emiliano A. Valdez,