arXiv Open Access 2013

On lower and upper bounds for Asian-type options: a unified approach

Alexander Novikov Nino Kordzakhia

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Abstrak

In the context of dealing with financial risk management problems it is desirable to have accurate bounds for option prices in situations when pricing formulae do not exist in the closed form. A unified approach for obtaining upper and lower bounds for Asian-type options, including options on VWAP, is proposed in this paper. The bounds obtained are applicable to the continuous and discrete-time frameworks for the case of time-dependent interest rates. Numerical examples are provided to illustrate the accuracy of the bounds.

Topik & Kata Kunci

q-fin.PR

Penulis (2)

Alexander Novikov

Nino Kordzakhia

Format Sitasi

APA MLA BibTeX

Novikov, A., Kordzakhia, N. (2013). On lower and upper bounds for Asian-type options: a unified approach. https://arxiv.org/abs/1309.2383

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Informasi Jurnal

Tahun Terbit: 2013
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓