Partially exact and bounded approximations for arithmetic Asian options

@inproceedings{Lord2006PartiallyEA,
  title={Partially exact and bounded approximations for arithmetic Asian options},
  author={R. Lord},
  year={2006}
}
This paper considers the pricing of European Asian options in the Black-Scholes framework. All approaches we consider are readily extendable to the case of an Asian basket option. We consider three methods for evaluating the price of an Asian option, and contribute to all three. Firstly, we show the link between the approaches of Rogers and Shi [1995], Andreasen [1999], Hoogland and Neumann [2000] and Večeř [2001]. For the latter formulation we propose two reductions, which increase the… CONTINUE READING
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