Fast narrow bounds on the value of Asian options

By G. Thompson. 2002

89 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8ea4796cab85d46655620b5e03a2d667b39609ec

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Erhan Bayraktar
2. D. Schrager
3. Jin E. Zhang
4. Hao Xing
5. Antoon Pelsser
6. Mingxin Xu
7. Jan Vecer
8. Nengjiu Ju

Citations in the corpus

• PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (2011, background): “On the other hand Rogers and Shi (1995) and Thompson (1998) obtained tight bounds for the prices.”
• Pricing Asian and basket options via Taylor expansion (2002, background): “Recently, Thompson (1999) has improved upon their bounds.”
• Pricing Asian options in a semimartingale model (2004, background): “A number of approximations that produce closed form expressions have appeared, most recently in Thompson (1999), who provides tight analytical bounds for the Asian option price.”
• Pricing continuously sampled Asian options with perturbation method (2003, methodology): “With intuition and simple optimization, Thompson (2000) derives an upper bound that is more accurate than Rogers and Shi’s (1995) and a lower bound that is easier to compute while giving the same value as Rogers and Shi’s (1995).”
• Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance (2004, methodology): “Notice the change in sign with the proposed function f in Thompson (1998). This is due to the fact we consider a put option whereas Thompson considers call options.”
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS (2006, unknown): “To compare with the approach given by Thompson (2002), we have taken discounting into account with a discount rate ρ = b. Typical results are shown in Table 7.2.”
• Partially Exact and Bounded Approximations for Arithmetic Asian Options (2006, unknown): “We must mention that the integral displayed for the ICUB and the PECUB in Vanmaele et al. [2006] was not numerically stable.”
• Pricing Bounds on Asian Options (2003, unknown): “o Independent of our portfolio approach, Thompson (2000) applies a similar method to derive an upper bound for an Asian option.”
• A Semi-Analytical Method for Pricing and Hedging Continuously Sampled Arithmetic Average Rate Options (2001, methodology): “CT‐GC, continuous limit ( Thompson, 2000 ) of geometric conditioning method of Curran (1994).”