Pricing Bounds on Asian Options
推导了离散亚洲期权的价格上下界，下界通过几何平均条件得到，上界依赖于执行价格，数值分析表明这些边界比常用近似定价提供更多信息，并可用于对冲。
This paper aims to develop and compare bounds on the pricing formulas for European type discrete Asian options. The lower bound is found by conditioning the maturity payment of the Asian option by the geometric average and the bound derived can be expressed as a portfolio of delayed payment European call options. Several exercise price-dependent upper bounds are derived. Like the lower bound, one of the upper bounds is expressed as a portfolio of delayed payment European call options. Through a numerical analysis, we conclude that more information is gained from the readily calculated bounds than from the usually applied pricing approximations. From the closed-form solutions of the bounds, hedging positions are finally derived.