Bounds for in-progress floating-strike Asian options using symmetry

Vicky Henderson, David Hobson, William T. Shaw, Rafał M. Wojakowski

Type: Article

Publication Date: 2006-11-09

Citations: 18

DOI: https://doi.org/10.1007/s10479-006-0122-8

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Locations

Annals of Operations Research - View

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+ PDF Chat	Asian option as a fixed-point	2018	Adriana Ocejo
+ PDF Chat	Stochastic Monotonicity and Duality of kth Order with Application to Put-Call Symmetry of Powered Options	2015	Vassili N. Kolokoltsov
+ PDF Chat	Stochastic Monotonicity and Duality of<i>k</i>th Order with Application to Put-Call Symmetry of Powered Options	2015	Vassili N. Kolokoltsov

Works Cited by This (5)

Action	Title	Year	Authors
+	Quasi-Monte Carlo Methods in Numerical Finance	1996	Corwin Joy Phelim P. Boyle Ken Seng Tan
+	Spectral Expansions for Asian (Average Price) Options	2004	Vadim Linetsky
+	On the Valuation of Asian Options by Variational Methods	2003	Michael D. Marcozzi
+ PDF Chat	On the equivalence of floating- and fixed-strike Asian options	2002	Vicky Henderson Rafał M. Wojakowski
+ PDF Chat	Asians and Cash Dividends: Exploiting Symmetries in Pricing Theory	2000	Jiri Hoogland Dimitri Neumann