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Efficient solutions for discrete Asian options

✍ Scribed by Chueh-Yung Tsao; Chi-Tsung Huang

Book ID
106169070
Publisher
Springer
Year
2007
Tongue
English
Weight
256 KB
Volume
11
Category
Article
ISSN
1432-7643

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πŸ“œ SIMILAR VOLUMES

Small dimension PDE for discrete Asian o
Small dimension PDE for discrete Asian options
✍ Eric Benhamou; Alexandre Duguet πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 297 KB

This paper presents an e cient method for pricing discrete Asian options in presence of smile and non-proportional dividends. Using an homogeneity property, we show how to reduce an n0 dimensional problem to a one-or two-dimensional one. We examine di erent numerical speciΓΏcations of our dimension r

Pricing bounds for discrete arithmetic A
Pricing bounds for discrete arithmetic Asian options under LΓ©vy models
✍ D. Lemmens; L.Z.J. Liang; J. Tempere; A. De Schepper πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 432 KB

Analytical bounds for Asian options are almost exclusively available in the Black-Scholes framework. In this paper we derive bounds for the price of a discretely monitored arithmetic Asian option when the underlying asset follows an arbitrary LΓ©vy process. Explicit formulas are given for Kou's model

Bounds for Asian basket options
Bounds for Asian basket options
✍ Griselda Deelstra; Ibrahima Diallo; MichΓ¨le Vanmaele πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 232 KB

In this paper we propose pricing bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework. We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums o