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Pricing of Asian-Type and Basket Options via Bounds
| Content Provider | Semantic Scholar |
|---|---|
| Author | Novikov, Alexander Alexander, Scott Kordzakhia, Nino Ling, T. |
| Copyright Year | 2017 |
| Abstract | This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket, and options on the volume-weighted average price. The use of lower and upper bounds is proposed in response to the inherent difficulty in finding analytical representations for the true price of these options and the requirement for numerical procedures to be fast and efficient. We demonstrate that in some cases lower bounds allow for the dimensionality of the problem to be reduced and that these methods provide reasonable approximations to the price of the option. |
| Starting Page | 94 |
| Ending Page | 106 |
| Page Count | 13 |
| File Format | PDF HTM / HTML |
| DOI | 10.1137/s0040585x97t987995 |
| Volume Number | 61 |
| Alternate Webpage(s) | http://pdfs.semanticscholar.org/1f5d/3c5eaabab148d5a8b55775acb6de570f7c81.pdf |
| Alternate Webpage(s) | https://opus.lib.uts.edu.au/bitstream/10453/115307/1/PRICING%20OF%20ASIAN-TYPE%20AND%20BASKET%20OPTIONS%20VIA%20BOUNDS.pdf |
| Alternate Webpage(s) | https://doi.org/10.1137/s0040585x97t987995 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
