Add to ORKGAn (Asian) basket option is an option whose payoff depends on the value of a portfolio (or basket) of assets (stocks). Determining the price of the basket option is not a trivial task, because in general there is no explicit analytical expression available for the distribution of the weighted sum of the assets. We derive analytical lower and upper bounds by using on one hand the method of conditioning as in Rogers and Shi (1995), and on the other hand results on a general technique based on comonotonic risks for deriving upper and lower bounds for stop-loss premiums of sums of dependent random variables (see Kaas, Dhaene and Goovaerts (2000))
Inspired by the ideas of Rogers and Shi [J. Appl. Prob. 32 (1995) 1077], Chalasani et al. [J. Comput...
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
For discrete arithmetic Asian options the payoff depends on the price average of the underlying asse...
Determining the price of a basket option is not a trivial task, because there is no explicit analyti...
AbstractIn this paper we propose pricing bounds for European-style discrete arithmetic Asian basket ...
This thesis presents the main results of my research in the field of computational finance and portf...
Bounds for the price of discretely sampled arithmetic Asian options In this paper the pricing of dis...
Bounds for the price of discrete arithmetic Asian options In this paper the pricing of European-styl...
AbstractIn this paper the pricing of European-style discrete arithmetic Asian options with fixed and...
© 2017 Society for Industrial and Applied Mathematics. This paper sets out to provide a general fram...
In this paper we propose some moment matching pricing methods for European-style discrete arithmetic...
One can find approaches galore in the literature for the valuation of Asian basket options. When the...
In this paper we consider the problem of pricing a general Asian basket spread option. We develop ap...
AbstractAsian options, basket options and spread options have been extensively studied in the litera...
AbstractIn this paper we propose some moment matching pricing methods for European-style discrete ar...
Inspired by the ideas of Rogers and Shi [J. Appl. Prob. 32 (1995) 1077], Chalasani et al. [J. Comput...
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
For discrete arithmetic Asian options the payoff depends on the price average of the underlying asse...
Determining the price of a basket option is not a trivial task, because there is no explicit analyti...
AbstractIn this paper we propose pricing bounds for European-style discrete arithmetic Asian basket ...
This thesis presents the main results of my research in the field of computational finance and portf...
Bounds for the price of discretely sampled arithmetic Asian options In this paper the pricing of dis...
Bounds for the price of discrete arithmetic Asian options In this paper the pricing of European-styl...
AbstractIn this paper the pricing of European-style discrete arithmetic Asian options with fixed and...
© 2017 Society for Industrial and Applied Mathematics. This paper sets out to provide a general fram...
In this paper we propose some moment matching pricing methods for European-style discrete arithmetic...
One can find approaches galore in the literature for the valuation of Asian basket options. When the...
In this paper we consider the problem of pricing a general Asian basket spread option. We develop ap...
AbstractAsian options, basket options and spread options have been extensively studied in the litera...
AbstractIn this paper we propose some moment matching pricing methods for European-style discrete ar...
Inspired by the ideas of Rogers and Shi [J. Appl. Prob. 32 (1995) 1077], Chalasani et al. [J. Comput...
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
For discrete arithmetic Asian options the payoff depends on the price average of the underlying asse...