Pricing and hedging Asian basket spread options-Reference-Cited by-同舟云学术

Pricing and hedging Asian basket spread options

Published:2010-04 Issue:11 Volume:233 Page:2814-2830
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Deelstra Griselda,Petkovic Alexandre,Vanmaele Michèle

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference29 articles.

1. The value of an Asian option;Rogers;J. Appl. Probab.,1995

2. Upper and lower bounds for sums of random variables;Kaas;Insurance J. Math. Econom.,2000

3. G.W.P. Thompson, Fast narrow bounds on the value of Asian options. Cambridge Judge Business School. Working Paper, 2002 (available on-line at http://www.jbs.cam.ac.uk/research/working_papers/2002/wp0209.pdf)

4. Pricing bounds on Asian options;Nielsen;J. Finan. Quant. Anal.,2003

5. Bounds for the price of discretely sampled arithmetic Asian options;Vanmaele;J. Comput. Appl. Math.,2006

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