Closed-form lower bounds for the price of arithmetic average Asian options by multiple conditioning
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Choe, Geon Ho | ko |
| dc.contributor.author | Kim, Minseok | ko |
| dc.date.accessioned | 2021-11-18T06:40:34Z | - |
| dc.date.available | 2021-11-18T06:40:34Z | - |
| dc.date.created | 2021-09-28 | - |
| dc.date.created | 2021-09-28 | - |
| dc.date.created | 2021-09-28 | - |
| dc.date.issued | 2021-12 | - |
| dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.41, no.12, pp.1916 - 1932 | - |
| dc.identifier.issn | 0270-7314 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/289257 | - |
| dc.description.abstract | 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. | - |
| dc.language | English | - |
| dc.publisher | WILEY | - |
| dc.title | Closed-form lower bounds for the price of arithmetic average Asian options by multiple conditioning | - |
| dc.type | Article | - |
| dc.identifier.wosid | 000696623900001 | - |
| dc.identifier.scopusid | 2-s2.0-85115012440 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 41 | - |
| dc.citation.issue | 12 | - |
| dc.citation.beginningpage | 1916 | - |
| dc.citation.endingpage | 1932 | - |
| dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
| dc.identifier.doi | 10.1002/fut.22265 | - |
| dc.embargo.liftdate | 9999-12-31 | - |
| dc.embargo.terms | 9999-12-31 | - |
| dc.contributor.localauthor | Choe, Geon Ho | - |
| dc.description.isOpenAccess | N | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | Asian options | - |
| dc.subject.keywordAuthor | closed-form formulas | - |
| dc.subject.keywordAuthor | conditional expectation | - |
| dc.subject.keywordAuthor | lower bounds | - |
| dc.subject.keywordAuthor | multivariate normal distribution | - |
| dc.subject.keywordPlus | ACTUARIAL SCIENCE | - |
| dc.subject.keywordPlus | DISCRETE | - |
| dc.subject.keywordPlus | BASKET | - |
| dc.subject.keywordPlus | COMONOTONICITY | - |
| dc.subject.keywordPlus | APPROXIMATIONS | - |
| dc.subject.keywordPlus | FINANCE | - |
| dc.subject.keywordPlus | GAMMA | - |
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