Option Pricing for Time-Change Exponential Lévy Model Under Memm
✍ Scribed by Xu Chen; Jian-ping Wan
- Publisher
- Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 2007
- Tongue
- English
- Weight
- 206 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0168-9673
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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 Lévy process. Explicit formulas are given for Kou's model
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