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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 : 2000
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| ISSN |
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0167-6687
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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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