Michèle Vanmaele

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In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of We are able to create a unifying framework for discrete Asian options through these(More)
Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of finance and insurance. In this paper, we give an extensive bibliographic overview – without claiming to be complete – of the developments of the theory of comonotonicity and its applications, with(More)
Pr ra ac ct ti ic ca al l Q Qu ua an nt ti it ta at ti iv ve e F Fi in na an nc ce e Abstract In Foreign Exchange Markets Compound options (options on options) are traded frequently. Instalment options generalize the concept of Compound options as they allow the holder to prolong a Vanilla Call or Put option by paying instalments of a discrete payment plan.(More)
– 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 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)
We investigate lower and upper bounds for right tails (stop-loss premiums) of de-terministic and stochastic sums of non-independent random variables. The bounds are derived using the concepts of comonotonicity, convex order and conditioning. The performance of the presented approximations is investigated numerically for individual life annuity contracts as(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 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)