An Easy Computable Upper Bound for the Price of Arithmetic Asian Options

Research output: Contribution to journalArticle

50 Citations (Scopus)

Abstract

Using some results from risk theory on stop-loss order and comonotone risks, we show in this paper that the price of an arithmetic Asian option can be bounded from above by the price of a portfolio of European call options.
Original languageEnglish
Pages (from-to)175-183
Number of pages9
JournalInsurance. Mathematics & Economics
Volume26
Issue number2-3
Publication statusPublished - 2000

Keywords

  • Asian options
  • Stop-loss order
  • Comonotonicity

Fingerprint

Dive into the research topics of 'An Easy Computable Upper Bound for the Price of Arithmetic Asian Options'. Together they form a unique fingerprint.

Cite this