Lemmens, D.; Liang, L.Z.J.; Tempere, J.; De Schepper, A. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 22, pp. 5193-5207
Analytical bounds for Asian options are almost exclusively available in the Black–Scholes framework. In this paper we derive bounds for the price of a discretely monitored arithmetic Asian option when the underlying asset follows an arbitrary Lévy process. Explicit formulas are given for...
