On lower and upper bounds for Asian-type options: a unified approach

Alexander Novikov and Nino Kordzakhia

Papers from arXiv.org

Abstract: In the context of dealing with financial risk management problems it is desirable to have accurate bounds for option prices in situations when pricing formulae do not exist in the closed form. A unified approach for obtaining upper and lower bounds for Asian-type options, including options on VWAP, is proposed in this paper. The bounds obtained are applicable to the continuous and discrete-time frameworks for the case of time-dependent interest rates. Numerical examples are provided to illustrate the accuracy of the bounds.

Date: 2013-09
New Economics Papers: this item is included in nep-cwa, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://arxiv.org/pdf/1309.2383 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.2383

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().