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Applied Mathematical Finance Volume 15, 2008 - Issue 2
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PAPERS

General Lower Bounds for Arithmetic Asian Option Prices

H. Albrecher Radon Institute, Austrian Academy of Sciences, Altenbergerstrasse 69, A‐4040 Linz and Department of Financial Mathematics, University of Linz, AustriaCorrespondence[email protected]
,
P. A. Mayer Department of Mathematics, Graz University of Technology, Austria. Supported by the Austrian Science Fund Project P18392
&
W. Schoutens K.U. Leuven, University Center for Statistics, B‐3001 Leuven, Belgium
Pages 123-149 | Received 15 Jun 2006, Accepted 01 Feb 2007, Published online: 17 Mar 2008

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Carole Bernard, Zhenyu Cui & Steven Vanduffel. (2017) Impact of Flexible Periodic Premiums on Variable Annuity Guarantees. North American Actuarial Journal 21:1, pages 63-86.
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Pingping Zeng & Yue Kuen Kwok. (2016) Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. Quantitative Finance 16:9, pages 1375-1391.
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Nairn McWilliams & Sotirios Sabanis. (2011) Arithmetic Asian Options under Stochastic Delay Models. Applied Mathematical Finance 18:5, pages 423-446.
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Peter Laurence & Tai-Ho Wang. (2008) Distribution-free upper bounds for spread options and market-implied antimonotonicity gap. The European Journal of Finance 14:8, pages 717-734.
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Articles from other publishers (32)

SILVIA LAVAGNINI. (2021) PRICING ASIAN OPTIONS WITH CORRELATORS. International Journal of Theoretical and Applied Finance 24:08.
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NICOLE BÄUERLE & DANIEL SCHMITHALS. (2021) CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS. International Journal of Theoretical and Applied Finance 24:02, pages 2150011.
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Raj Kumari Bahl & Sotirios Sabanis. (2021) Model-independent price bounds for Catastrophic Mortality Bonds. Insurance: Mathematics and Economics 96, pages 276-291.
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Jan Dhaene, Alexander Kukush & Daniël Linders. (2020) Comonotonic asset prices in arbitrage-free markets. Journal of Computational and Applied Mathematics 364, pages 112310.
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LOUIS-PIERRE ARGUIN, NIEN-LIN LIU & TAI-HO WANG. (2018) MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. International Journal of Theoretical and Applied Finance 21:05, pages 1850029.
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Sergei Levendorskiĭ. (2018) Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space. SIAM Journal on Financial Mathematics 9:1, pages 1-27.
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Nabil Kahalé. (2017) Superreplication of Financial Derivatives via Convex Programming. Management Science 63:7, pages 2323-2339.
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A. Novikov, S. Alexander, N. Kordzakhia & T. Ling. (2017) Pricing of Asian-Type and Basket Options via Bounds. Theory of Probability & Its Applications 61:1, pages 94-106.
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Alexander M. G. Cox & Sigrid Källblad. (2017) Model-Independent Bounds for Asian Options: A Dynamic Programming Approach. SIAM Journal on Control and Optimization 55:6, pages 3409-3436.
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Александр Александрович Новиков, Aleksandr Aleksandrovich Novikov, Скотт Александер, Scott Alexander, Нино Е Кордзахия, Nino E Kordzahiya, Т Линг & T Ling. (2016) Оценивание опционов азиатского и баскетного типов с помощью верхних и нижних границPricing of asian-type and basket options via bounds. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 61:1, pages 53-68.
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J. Lars Kirkby. (2016) An Efficient Transform Method for Asian Option Pricing. SIAM Journal on Financial Mathematics 7:1, pages 845-892.
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Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders & Michèle Vanmaele. (2015) On an optimization problem related to static super-replicating strategies. Journal of Computational and Applied Mathematics 278, pages 213-230.
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A. A. Novikov & N. E. Kordzakhia. (2015) Lower and upper bounds for prices of Asian-type options. Proceedings of the Steklov Institute of Mathematics 287:1, pages 225-231.
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Griselda Deelstra, Grégory Rayée, Steven Vanduffel & Jing Yao. (2014) USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS. ASTIN Bulletin 44:2, pages 237-276.
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GUOPING XU & HARRY ZHENG. (2014) LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS. International Journal of Theoretical and Applied Finance 17:01, pages 1450007.
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Carole Bernard, Xiao Jiang & Ruodu Wang. (2014) Risk aggregation with dependence uncertainty. Insurance: Mathematics and Economics 54, pages 93-108.
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Mathias Beiglböck, Pierre Henry-Labordère & Friedrich Penkner. (2013) Model-independent bounds for option prices—a mass transport approach. Finance and Stochastics 17:3, pages 477-501.
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Javier Peña, Juan C. Vera & Luis F. Zuluaga. (2012) Computing arbitrage upper bounds on basket options in the presence of bid–ask spreads. European Journal of Operational Research 222:2, pages 369-376.
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Ning Cai & Steven Kou. (2012) Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model. Operations Research 60:1, pages 64-77.
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D. Lemmens, L.Z.J. Liang, J. Tempere & A. De Schepper. (2010) Pricing bounds for discrete arithmetic Asian options under Lévy models. Physica A: Statistical Mechanics and its Applications 389:22, pages 5193-5207.
Crossref
Alexander Cox. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Peter Laurence & Tai-Ho Wang. (2009) Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios. Insurance: Mathematics and Economics 44:1, pages 35-47.
Crossref
Jan Dhaene, Alexander Kukush & Daniil Linders. (2018) Comonotonic Asset Prices in Arbitrage-Free Markets. SSRN Electronic Journal.
Crossref
Sergei Levendorskii. (2016) Double Spiral Method, Gamma Transform and Pricing Arithmetic Asian Options. SSRN Electronic Journal.
Crossref
Carole Bernard, Zhenyu Cui & Steven Vanduffel. (2016) Impact of Flexible Periodic Premiums on Variable Annuity Guarantees. SSRN Electronic Journal.
Crossref
Justin Lars Kirkby. (2014) An Efficient Transform Method for Asian Option Pricing. SSRN Electronic Journal.
Crossref
Pingping Zeng & Yue Kuen Kwok. (2014) Pricing Bounds and Approximations for Discrete Arithmetic Asian Options under Time-Changed LLvy Processes. SSRN Electronic Journal.
Crossref
Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniil Linders & Michhle Vanmaele. (2014) On an Optimization Problem Related to Static Super-Replicating Strategies. SSRN Electronic Journal.
Crossref
Nabil Kahalé. (2012) Super-Replication of Financial Derivatives Via Convex Programming. SSRN Electronic Journal.
Crossref
Guoping Xu & Harry Zheng. (2012) Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models. SSRN Electronic Journal.
Crossref
Sergei Z. Levendorskii & Jiayao Xie. (2012) Pricing of Discretely Sampled Asian Options Under Levy Processes. SSRN Electronic Journal.
Crossref
Mathias Beiglböck, Pierre Henry-Labordere & Friedrich Penkner. (2011) Model-Independent Bounds for Option Prices: A Mass Transport Approach. SSRN Electronic Journal.
Crossref

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