Closed-form lower bounds for the price of arithmetic average Asian options by multiple conditioning

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We present closed-form lower bounds for the price of arithmetic average Asian options under geometric Brownian motion. Lower bounds are found by conditioning on multiple normal variables, each of which is a weighted sum of Brownian motions. Numerical results show that our lower bounds are close to Monte Carlo prices and improve single conditioning methods especially for high volatility and long maturity.
Publisher
WILEY
Issue Date
2021-12
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.41, no.12, pp.1916 - 1932

ISSN
0270-7314
DOI
10.1002/fut.22265
URI
http://hdl.handle.net/10203/289257
Appears in Collection
MA-Journal Papers(저널논문)
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