Lower and upper bounds for prices of Asian-type options

Novikov, AA; Kordzakhia, NE

Lower and upper bounds for prices of Asian-type options

Novikov, AA

Kordzakhia, NE

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Publication Type:: Journal Article
Citation:: Proceedings of the Steklov Institute of Mathematics, 2014, 287 (1), pp. 225 - 231
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Novikov, AA https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Kordzakhia, NE	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Proceedings of the Steklov Institute of Mathematics, 2014, 287 (1), pp. 225 - 231	en_US
dc.identifier.issn	0081-5438	en_US
dc.identifier.uri	http://hdl.handle.net/10453/33652
dc.description.abstract	© 2014, Pleiades Publishing, Ltd. 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 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.relation.ispartof	Proceedings of the Steklov Institute of Mathematics	en_US
dc.relation.isbasedon	10.1134/S0081543814080136	en_US
dc.title	Lower and upper bounds for prices of Asian-type options	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	287	en_US
utslib.for	0101 Pure Mathematics	en_US
utslib.for	0102 Applied Mathematics	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	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	287	en_US

Abstract:

© 2014, Pleiades Publishing, Ltd. 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 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/10453/33652