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Title
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An easy computable upper bound for the price of an arithmetic Asian option
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Author
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Abstract
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| Using some results from risk theory on stop-loss order and comonotone risks, we show in this paper that the price of an arithmetic Asian option can be bounded from above by the price of a portfolio of European call options. (C) 2000 Elsevier Science B.V. All rights reserved. |
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Language
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English
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Source (journal)
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Insurance : mathematics and economics. - Amsterdam
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Publication
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Amsterdam
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2000
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ISSN
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0167-6687
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DOI
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10.1016/S0167-6687(99)00051-7
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Volume/pages
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26
:2-3
(2000)
, p. 175-183
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ISI
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000088111000006
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Full text (Publisher's DOI)
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