An easy computable upper bound for the price of an arithmetic Asian option
By Steven C. J. Simon, Marc J. Goovaerts, Jan Dhaene. 2000
94 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/1354a9347167c7cc9950073112865809055e74c9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Jan Dhaene
- Marc J. Goovaerts
- Michel Denuit
- Wim Schoutens
- Hansjörg Albrecher *
- Michèle Vanmaele
- Griselda Deelstra
- J. Liinev
In Management Science and Operations Research
- Michel Denuit
- Jan Dhaene
- Marc J. Goovaerts
- Wim Schoutens
- Hansjörg Albrecher *
- J. Liinev
- Michèle Vanmaele
- Griselda Deelstra
Citations in the corpus
- Stochastic Upper Bounds for Present Value Functions (2000, unknown): “For more details, we refer to Simon, Goovaerts and Dhaene (1999) .”
- Static Hedging of Asian Options under Lévy Models (2005, methodology): “This can nicely be done by the use of comonotonic theory as described in [19, 20, 38, 40].”
- Does positive dependence between individual risks increase stop-loss premiums? (2001, background): “Dhaene, Wang, Young and Goovaerts (2000), Goovaerts, Dhaene and De Schepper (2000), Kaas, Dhaene and Goovaerts (2000), Simon, Goovaerts and Dhaene (2000) , Vyncke, Goovaerts and Dhaene (2000) as well as the references therein.”
- Pricing of arithmetic basket options by conditioning (2004, unknown): “In this respect, it seems natural to adapt the methods for valuing Asian options as developed first in Simon et al. (2000) and Dhaene et al. (2002a,b), and refined and extended in various ways in Vanmaele et al. (2002).”
- Bounds for the price of discrete arithmetic Asian options (2006, background): “The theory of comonotonicity (see (23) and (21)) then leads to the following upper bound S(0) n E [ (S − nβ)+ ]”
- Upper and lower bounds for sums of random variables (2000, unknown): “Corollary 1 can be used for deriving upper bounds for the price of an Asian option, see Simon et al. (2000).”
- Partially Exact and Bounded Approximations for Arithmetic Asian Options (2006, unknown): “As Turnbull and Wakeman [1991] pointed out, the moments of the discretely sampled arithmetic average can be calculated very efficiently by using the property that the returns of the underlying are independent.”
- Pricing Bounds on Asian Options (2003, unknown): “Finally, it should be stressed that using the theory on comonotonicity, Simon, Goovaerts, and Dhaene (2000) have derived the upper bound presented in Proposition 1.”
- On Asian option pricing for NIG Lévy processes (2004, background): “[25] recently derived upper bounds for the price of an arithmetic average option in an arbitrage-free and complete market by means of stop-loss transforms and the theory of comonotone risks.”