Publication
Title
An easy computable upper bound for the price of an arithmetic Asian option
Author
Abstract
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.
Language
English
Source (journal)
Insurance: mathematics and economics. - Amsterdam
Publication
Amsterdam : 2000
ISSN
0167-6687
Volume/pages
26:2-3(2000), p. 175-183
ISI
000088111000006
Full text (Publisher's DOI)
UAntwerpen
Publication type
Subject
External links
Web of Science
Record
Identification
Creation 12.07.2012
Last edited 17.07.2017