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

Insurance: Mathematics and Economics

Volumn 26, Issue 2-3, 2000, Pages 175-183

  Simon, S ^a   Goovaerts, M J ^a,b   Dhaene, J ^a,b,c  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

^c UNIVERSITY OF ANTWERP   (Belgium)

Author keywords

Asian options; Comonotonicity; Stop loss order

Indexed keywords

EID: 0034621112     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00051-7     Document Type: Article

References (11)

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