An easy computable upper bound for the price of an arithmetic Asian option

An easy computable upper bound for the price of an arithmetic Asian option

Using some results from risk theory on stop-loss order and comonotone risks, we show in this paper that the price of an arithmetic Asian option can be bounded from above by the price of a portfolio of European call options.

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Bibliographische Detailangaben
Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2000-05, Vol.26 (2-3), p.175-183
Hauptverfasser: Simon, S., Goovaerts, M.J., Dhaene, J.
Format: Artikel
Sprache:eng
Schlagworte:
Applications
Asian options
Comonotonicity
Economic theory
investments
options trading
portfolios
Put & call options
Risk
Securities markets
Stop-loss order
Studies
uncertainty
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Beschreibung
Zusammenfassung:Using some results from risk theory on stop-loss order and comonotone risks, we show in this paper that the price of an arithmetic Asian option can be bounded from above by the price of a portfolio of European call options.
ISSN:0167-6687
1873-5959
DOI:10.1016/S0167-6687(99)00051-7