Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning
在几何布朗运动下，通过多重正态变量条件方法，给出了算术平均亚式期权价格的闭式下界，数值结果显示该下界接近蒙特卡洛价格，在高波动率和长期限时优于单条件方法。
Abstract We present closed‐form lower bounds for the price of arithmetic average Asian options under geometric Brownian motion. Lower bounds are found by conditioning on multiple normal variables, each of which is a weighted sum of Brownian motions. Numerical results show that our lower bounds are close to Monte Carlo prices and improve single conditioning methods especially for high volatility and long maturity.