Exotic options: Boundary analyses
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1057/jdhf.2009.5.pdf
Reference8 articles.
1. Ye, G. (2005) Asian options can be more expensive than plain vanilla counterparts. Journal of Derivatives 13 (1): 56–60.
2. Ye, G. (2008) Asian options versus vanilla options: A boundary analysis. Journal of Risk finance 9 (2): 188–199.
3. Merton, R. (1973) Theory of rational option pricing. Bell Journal of Economics and Management Science 4: 141–183.
4. Perrakis, S. and Ryan, P. (1984) Option pricing bounds in discrete time. Journal of Finance 39: 519–527.
5. Ritchken, P. (1985) On option pricing bounds. Journal of Finance 40: 1219–1233.
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