Add to ORKGIn 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
In this research, we develop a new discrete-time model approach with flexibly changeable driving dyn...
We present methodologies to price discretely monitored Asian options when the underlying evolves acc...
UnrestrictedAn Asian option is a path-dependent option whose payoff depends on the average price of ...
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
© 2017 Society for Industrial and Applied Mathematics. This paper sets out to provide a general fram...
We propose an accurate method for pricing arithmetic Asian options on the discrete or continuous ave...
AbstractIn this paper the pricing of European-style discrete arithmetic Asian options with fixed and...
Bounds for the price of discretely sampled arithmetic Asian options In this paper the pricing of dis...
In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floatin...
Inspired by the ideas of Rogers and Shi [J. Appl. Prob. 32 (1995) 1077], Chalasani et al. [J. Comput...
There are two types of Asian options, fixed-strike and floating-strike, in the literature. We give l...
This thesis presents the main results of my research in the field of computational finance and portf...
Inspired by the ideas of Rogers and Shi (1995), Chalasani, Jha & Varikooty (1998) derived accur...
AbstractIn this paper we propose pricing bounds for European-style discrete arithmetic Asian basket ...
Includes bibliographical references (leaves 29-31).This paper investigates the European-style arithm...
In this research, we develop a new discrete-time model approach with flexibly changeable driving dyn...
We present methodologies to price discretely monitored Asian options when the underlying evolves acc...
UnrestrictedAn Asian option is a path-dependent option whose payoff depends on the average price of ...
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
© 2017 Society for Industrial and Applied Mathematics. This paper sets out to provide a general fram...
We propose an accurate method for pricing arithmetic Asian options on the discrete or continuous ave...
AbstractIn this paper the pricing of European-style discrete arithmetic Asian options with fixed and...
Bounds for the price of discretely sampled arithmetic Asian options In this paper the pricing of dis...
In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floatin...
Inspired by the ideas of Rogers and Shi [J. Appl. Prob. 32 (1995) 1077], Chalasani et al. [J. Comput...
There are two types of Asian options, fixed-strike and floating-strike, in the literature. We give l...
This thesis presents the main results of my research in the field of computational finance and portf...
Inspired by the ideas of Rogers and Shi (1995), Chalasani, Jha & Varikooty (1998) derived accur...
AbstractIn this paper we propose pricing bounds for European-style discrete arithmetic Asian basket ...
Includes bibliographical references (leaves 29-31).This paper investigates the European-style arithm...
In this research, we develop a new discrete-time model approach with flexibly changeable driving dyn...
We present methodologies to price discretely monitored Asian options when the underlying evolves acc...
UnrestrictedAn Asian option is a path-dependent option whose payoff depends on the average price of ...