Pricing of asian-type and basket options via bounds

Novikov, A; Alexander, S; Kordzakhia, N; Ling, T

Pricing of asian-type and basket options via bounds

Novikov, A

Alexander, S

Kordzakhia, N Ling, T

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Publication Type:: Journal Article
Citation:: Theory of Probability and its Applications, 2017, 61 (1), pp. 94 - 106
Issue Date:: 2017-01-01

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Alexander, S https://orcid.org/0000-0002-3034-0597	en_US
dc.contributor.author	Kordzakhia, N	en_US
dc.contributor.author	Ling, T	en_US
dc.date.issued	2017-01-01	en_US
dc.identifier.citation	Theory of Probability and its Applications, 2017, 61 (1), pp. 94 - 106	en_US
dc.identifier.issn	0040-585X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/115307
dc.description.abstract	© 2017 Society for Industrial and Applied Mathematics. This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket, and options on the volume-weighted average price. The use of lower and upper bounds is proposed in response to the inherent difficulty in finding analytical representations for the true price of these options and the requirement for numerical procedures to be fast and efficient. We demonstrate that in some cases lower bounds allow for the dimensionality of the problem to be reduced and that these methods provide reasonable approximations to the price of the option.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP130103315
dc.relation	http://purl.org/au-research/grants/arc/DP150102758
dc.relation.ispartof	Theory of Probability and its Applications	en_US
dc.relation.isbasedon	10.1137/S0040585X97T987995	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Pricing of asian-type and basket options via bounds	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	61	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	150201 Finance	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	0104 Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	61	en_US

Abstract:

© 2017 Society for Industrial and Applied Mathematics. This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket, and options on the volume-weighted average price. The use of lower and upper bounds is proposed in response to the inherent difficulty in finding analytical representations for the true price of these options and the requirement for numerical procedures to be fast and efficient. We demonstrate that in some cases lower bounds allow for the dimensionality of the problem to be reduced and that these methods provide reasonable approximations to the price of the option.

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http://hdl.handle.net/10453/115307