Bounds for the price of discrete arithmetic Asian options
By Michèle Vanmaele, Griselda Deelstra, J. Liinev, Jan Dhaene, Marc J. Goovaerts. 2006
62 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/1dbcc211e69c2846bdbf68d50d586b7558145618
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In Finance
- Jan Dhaene
- Antonis Papapantoleon
- Marc J. Goovaerts
- Rob Kaas
- Steven Vanduffel
- Ernst Eberlein
- Michel Denuit
- Ruodu Wang
Citations in the corpus
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2008, background): “(29) For more details about the results summarised in this section, we refer to Dhaene et al.”
- Equivalence of floating and fixed strike Asian and lookback options (2005, methodology): “In-progress Asian options can be re-written in terms of standard Asian options, see Večeř (2002), but floating strike options become a mixture of floating and fixed strike Asian options, because of the additional term that corresponds to the averaging up to time t.”