An easy computable upper bound for the price of an arithmetic Asian option

Authors
Simon, S Goovaerts, MJ Dhaene, J
Citation
S. Simon et al., An easy computable upper bound for the price of an arithmetic Asian option, INSUR MATH, 26(2-3), 2000, pp. 175-183
Citations number
10
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
26
Issue
2-3
Year of publication
2000
Pages
175 - 183
Database
ISI
SICI code
0167-6687(20000508)26:2-3<175:AECUBF>2.0.ZU;2-L
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. ( C) 2000 Elsevier Science B.V. All rights reserved.