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
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
Journal title :
Insurance Mathematics and Economics
