Bounds for in-progress floating-strike Asian options using symmetry

被引：10
|
作者：
Henderson, Vicky
Hobson, David
Shaw, William
Wojakowski, Rafal
机构：
[1] Princeton Univ, ORFE, Princeton, NJ 08544 USA
[2] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08544 USA
[3] Univ Bath, Dept Math Sci, Bath BA2 7AY, Avon, England
[4] Kings Coll London, Dept Math, London WC2R 2LS, England
[5] Univ Lancaster, Dept Accounting, Lancaster LA1 4YX, England
[6] Univ Lancaster, Finance Management Sch, Lancaster LA1 4YX, England
来源：
ANNALS OF OPERATIONS RESEARCH | 2007年 / 151卷 / 01期
关键词：
Asian options; floating strike Asian options; put call symmetry; bounds; change of numeraire;
D O I：
10.1007/s10479-006-0122-8
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound coincides with the true price until after the averaging has begun and again at maturity. The bound is compared to benchmark prices obtained via Monte Carlo simulation in numerical examples.
引用
收藏
页码：81 / 98
页数：18
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