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

被引：42

作者：

Simon, S

Goovaerts, MJ

Dhaene, J

机构：

[1] Katholieke Univ Leuven, B-3000 Louvain, Belgium

[2] Univ Amsterdam, Amsterdam, Netherlands

[3] Univ Antwerp, B-2020 Antwerp, Belgium

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2000年 / 26卷 / 2-3期

关键词：

Asian options; stop-loss order; comonotonicity;

D O I：

10.1016/S0167-6687(99)00051-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：175 / 183

页数：9

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