𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Graphical Asian options

✍ Scribed by Mark S. Joshi


Book ID
115563827
Publisher
Wiley (John Wiley & Sons)
Year
2010
Weight
114 KB
Volume
2
Category
Article
ISSN
1759-6351

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The British Asian Option
✍ Glover, Kristoffer; Peskir, Goran; Samee, Farman πŸ“‚ Article πŸ“… 2010 πŸ› Taylor and Francis Group 🌐 English βš– 197 KB
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