Lower Bounds for Asian Options
Other Title
算術平均式亞式選擇權之價格下限
Date Issued
2005-06
Date
2005-06
Author(s)
Chen, Kuan-Wen
Advisor
呂育道
DOI
20060927122900945902
Abstract
There are two types of Asian options, fixed-strike & floating-strike, in the literature. We give lower bounds on the values of both fixed-strike & floating-strike Asian options in continuous case. Good lower bounds for both options have been derived earlier by Rogers & Shi (1995) & Thompson (1998). But the lower bound derived by Thompson assumes a maturity of one year. This thesis extends Thompson’s version of the lower bound to the case of general maturities. Numerical experiments are performed to confirm the extreme accuracy of the lower bound.
Publisher
臺北市:國立臺灣大學財務金融學系
Type
thesis
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