On lower and upper bounds for Asian-type options: a unified approach

Novikov, A; Kordzakhia, N

On lower and upper bounds for Asian-type options: a unified approach

Novikov, A

Kordzakhia, N

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Kordzakhia, N	en_US
dc.identifier.uri	http://hdl.handle.net/10453/116560
dc.description.abstract	In 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.	en_US
dc.title	On lower and upper bounds for Asian-type options: a unified approach	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

Abstract:

In 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.

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http://hdl.handle.net/10453/116560