General bounds for arithmetic asian option price = Límites generales para los precios de las opciones asiáticas aritméticas
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- Año de publicación 2013
- Idioma Inglés
- Descripción
- This dissertation explains in detail how Albrecher et al. (2008) developed three different model independent lower bounds and one upper comonotonic bound for European Asian call option prices. The main characteristic of these bounds is that Albrecher et al. (2008) only use the observable plain vanilla option prices in the market to calculate them whichallows for the _nding of static hedging portfolios.The concepts behind the bounds are basically Jensen's inequality and some properties of comonotonicity of random vectors. This document will also explain how to implement these bounds when the market has a finite number of options available, moreover, how to do it when these bounds do not involve strikes found in the market.Two facts will be used: the call option price function is convex with respect to strike, and the lower and upper bounds for a call option suggested by Bertsimas and Popescu (2002). Finally, as an example, one application of these bounds in the Colombian FX option market will be presented.
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Citación recomendada (normas APA)
- Santiago Stozitzky Otálora, "General bounds for arithmetic asian option price = Límites generales para los precios de las opciones asiáticas aritméticas", Asia:-, 2013. Consultado en línea en la Biblioteca Digital de Bogotá (https://www.bibliotecadigitaldebogota.gov.co/resources/2084173/), el día 2024-04-24.