Pricing Bounds on Asian Options

By J. A. Nielsen, K. Sandmann. Journal of Financial and Quantitative Analysis, 2003

105 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ff52b9b4a9b9599b65b55319999f971d8b515979

How researchers see this paper

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In Finance

1. Jan Dhaene
2. Marc J. Goovaerts
3. Michèle Vanmaele
4. Griselda Deelstra
5. J. Liinev
6. Thomas S. Salisbury
7. M. Milevsky
8. Peter A. Forsyth

Citations in the corpus

• Financial valuation of guaranteed minimum withdrawal benefits (2006, background): “See Turnbull and Wakeman (1991), Milevsky and Posner (1998), Bakshi and Madan (2002), Nielsen and Sandmann (2003) or Dhaene et al. (2001), for a review of the various approaches.”
• A General Closed-Form Spread Option Pricing Formula (2013, unknown): “bivariate geometric Brownian motion model, discussing two additional bounds: an improved lower bound and a second upper bound, obtained following ideas used by Rogers and Shi (1995) and by Nielsen and Sandmann (2003) for Asian options.”
• Bounds for the price of discrete arithmetic Asian options (2006, methodology): “By a similar reasoning as in Section 2.2, it is easy to derive an upper bound based on the lower bound by following the ideas of Rogers and Shi (1995) and Nielsen and Sandmann (2003).”