Lower Bounds for Asian Options
Date Issued
2005
Date
2005
Author(s)
Chen, Kuan-Wen
DOI
en-US
Abstract
There are two types of Asian options, fixed-strike and floating-strike, in the literature. We give lower bounds on the values of both fixed-strike and floating-strike Asian options in continuous case. Good lower bounds for both options have been derived earlier by Rogers & Shi (1995) and Thompson (1998). But the lower bound derived by them 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.
Subjects
亞式選擇權
Lower Bounds
Asian Options
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-94-R92723061-1.pdf
Size
23.31 KB
Format
Adobe PDF
Checksum
(MD5):39f5db9c3b7a08f31faee33c6d03d830