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
Pricing discretely monitored Asian options under Lévy processes
✍ Scribed by Gianluca Fusai; Attilio Meucci
- Book ID
- 116615167
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 426 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0378-4266
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