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Bounds for the price of discrete arithmetic Asian options

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References

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Cited by

2011An Overview of Comonotonicity and Its Applications in Finance and Insurance74 cited

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2007Prices and sensitivities of Asian options: A survey65 cited

2008On the duality principle in option pricing: semimartingale setting65 cited

2007Optimal approximations for risk measures of sums of lognormals based on conditional expectations56 cited

2004Equivalence of floating and fixed strike Asian and lookback options54 cited

2006Partially exact and bounded approximations for arithmetic Asian options51 cited

2017Risk bounds for factor models48 cited

2008General Lower Bounds for Arithmetic Asian Option Prices47 cited

2006Bounds for Asian basket options43 cited

2004An accurate analytical approximation for the price of a European-style arithmetic Asian option32 cited

2016Geometric Asian option pricing in general affine stochastic volatility models with jumps30 cited

2018Asian Option Pricing with Orthogonal Polynomials28 cited

2010Pricing bounds for discrete arithmetic Asian options under Lévy models26 cited

2009Moment matching approximation of Asian basket option prices24 cited

2011On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps24 cited

2009Pricing and hedging Asian basket spread options23 cited