Title of article
An easy computable upper bound for the price of an arithmetic Asian option
Author/Authors
Simon، نويسنده , , S. and Goovaerts، نويسنده , , M.J. and Dhaene، نويسنده , , J.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
9
From page
175
To page
183
Abstract
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.
Keywords
Stop-loss order , Comonotonicity , Asian options
Journal title
Insurance Mathematics and Economics
Serial Year
2000
Journal title
Insurance Mathematics and Economics
Record number
1544356
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