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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2014, Volume 287, Pages 234–241
DOI: https://doi.org/10.1134/S037196851404013X (Mi tm3579) 		 
This article is cited in 9 scientific papers (total in 9 papers)

Lower and upper bounds for prices of Asian-type options

A. A. Novikovab, N. E. Kordzahiac

a Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia
b Department of Mathematical Sciences, University of Technology, Sydney, Australia
c Macquarie University, Sydney, Australia
Full-text PDF (174 kB) Citations (9)
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DOI: https://doi.org/10.1134/S037196851404013X
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 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.
Funding agency Grant number
Australian Research Council DP13010335
This work was supported by the Australian Research Council, discovery grant no. DP13010335.
Received in August 2014
English version:
Proceedings of the Steklov Institute of Mathematics, 2014, Volume 287, Issue 1, Pages 225–231
DOI: https://doi.org/10.1134/S0081543814080136
Bibliographic databases:
Document Type: Article
UDC: 519.21+519.248
Language: Russian
Citation: A. A. Novikov, N. E. Kordzahia, “Lower and upper bounds for prices of Asian-type options”, Stochastic calculus, martingales, and their applications, Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday, Trudy Mat. Inst. Steklova, 287, MAIK Nauka/Interperiodica, Moscow, 2014, 234–241; Proc. Steklov Inst. Math., 287:1 (2014), 225–231
Citation in format AMSBIB
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\paper Lower and upper bounds for prices of Asian-type options
\inbook Stochastic calculus, martingales, and their applications
\bookinfo Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday
\serial Trudy Mat. Inst. Steklova
\yr 2014
\vol 287
\pages 234--241
\publ MAIK Nauka/Interperiodica
\publaddr Moscow
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    • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Труды Математического института имени В. А. Стеклова Proceedings of the Steklov Institute of Mathematics
     
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