Semidefinite Programming Approaches for Bounding Asian Option Prices

2008 ◽  
pp. 103-116 ◽  
Author(s):  
Georgios V. Dalakouras ◽  
Roy H. Kwon ◽  
Panos M. Pardalos
Keyword(s):  
Semidefinite Programming ◽  
Asian Option ◽  
Option Prices

scholarly journals Recursive Formula for Arithmetic Asian Option Prices

2012 ◽  
Vol 34 (3) ◽  
pp. 220-234 ◽  
Author(s):  
Kyungsub Lee
Keyword(s):  
Recursive Formula ◽  
Asian Option ◽  
Option Prices

General Lower Bounds for Arithmetic Asian Option Prices

2008 ◽  
Vol 15 (2) ◽  
pp. 123-149 ◽  
Author(s):  
H. Albrecher ◽  
P. A. Mayer ◽  
W. Schoutens
Keyword(s):  
Lower Bounds ◽  
Asian Option ◽  
Option Prices

scholarly journals A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES

2016 ◽  
Vol 53 (3) ◽  
pp. 733-749 ◽  
Author(s):  
Bara Kim ◽  
Jeongsim Kim ◽  
Jerim Kim ◽  
In-Suk Wee
Keyword(s):  
Recursive Method ◽  
Asian Option ◽  
Option Prices

Term structure movements implicit in Asian option prices

2012 ◽  
Vol 12 (1) ◽  
pp. 119-134 ◽  
Author(s):  
Caio Almeida ◽  
José Vicente
Keyword(s):  
Term Structure ◽  
Asian Option ◽  
Option Prices

scholarly journals USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS

2014 ◽  
Vol 44 (2) ◽  
pp. 237-276 ◽  
Author(s):  
Griselda Deelstra ◽  
Grégory Rayée ◽  
Steven Vanduffel ◽  
Jing Yao
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Lower Bounds ◽  
Mathematical Finance ◽  
Asian Option ◽  
Asian Options ◽  
Option Prices ◽  
Control Variates ◽  
Proposed Model ◽  
Model Independent

AbstractAlbrecheret al. (Albrecher, H., Mayer Ph., Schoutens, W. (2008) General lower bounds for arithmetic Asian option prices.Applied Mathematical Finance,15, 123–149) have proposed model-independent lower bounds for arithmetic Asian options. In this paper we provide an alternative and more elementary derivation of their results. We use the bounds as control variates to develop a simple Monte Carlo method for pricing contracts with Asian-style features. The conditioning idea that is inherent in our approach also inspires us to propose a new semi-analytic pricing approach. We compare both approaches and conclude that these both have their merits and are useful in practice. In particular, we point out that our newly proposed Monte Carlo method allows to deal with Asian-style products that appear in insurance (e.g., unit-linked contracts) in a very efficient way, and outperforms other known Monte Carlo methods that are based on control variates.

scholarly journals Asian Option Pricing under an Uncertain Volatility Model

2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Yuecai Han ◽  
Chunyang Liu
Keyword(s):  
Boundary Condition ◽  
Nonlinear Pde ◽  
Asian Option ◽  
Option Prices ◽  
Case Scenario ◽  
Worst Case ◽  
Volatility Model ◽  
Black Scholes ◽  
Uncertain Volatility ◽  
Fully Nonlinear Pde

In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario under an uncertain volatility model. We derive a procedure to approximate Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and splitting the obtained Black–Scholes–Barenblatt equation into two Black–Scholes-like equations, we obtain an approximation method to solve a fully nonlinear PDE.

Partial differential equations for Asian option prices

2015 ◽  
Vol 16 (3) ◽  
pp. 447-460 ◽  
Author(s):  
C. Brown ◽  
J. C. Handley ◽  
C.-T. Lin ◽  
K. J. Palmer
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Asian Option ◽  
Option Prices ◽  
Partial Differential
Sign in / Sign up

Export Citation Format

Share Document