Michèle Vanmaele

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– Inspired by the ideas of Rogers and Shi (1995), Chalasani, Jha & Varikooty (1998) derived accurate lower and upper bounds for the price of a European-style Asian option with continuous averaging over the full lifetime of the option, using a discrete-time binary tree model. In this paper, we consider arithmetic Asian options with discrete sampling and we(More)
In this paper, we investigate an optimization problem related to super-replicating strategies for European-type call options written on a weighted sum of asset prices, following the initial approach in Chen et al. (2008). Three issues are investigated. The first issue is the (non-)uniqueness of the optimal solution. The second issue is the generalization to(More)
In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the(More)
In this paper we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of [5] and of [8] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only(More)
The European call option prices have well-known formulae in the Cox-Ross-Rubinstein model [2], depending on the volatility of the underlying asset. Nevertheless it is hard to give a precise estimate of this volatility. S. Muzzioli and C. Toricelli [6] handle this problem by using possibility distributions. In the first part of our paper we make some(More)
We consider a second-order elliptic eigenvalue problem on a convex polygonal domain, divided in M nonoverlapping subdomains. The conormal derivative of the unknown function is continuous on the interfaces, while the function itself is discontinuous. We present a general finite element method to obtain a numerical solution of the eigenvalue problem, starting(More)
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