英文标题：
《On lower and upper bounds for Asian-type options: a unified approach》
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作者：
Alexander Novikov, Nino Kordzakhia
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最新提交年份：
2013
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英文摘要：
In the context of dealing with financial risk management problems it is desirable to have accurate bounds for option prices in situations when pricing formulae do not exist in the closed form. A unified approach for obtaining upper and lower bounds for Asian-type options, including options on VWAP, is proposed in this paper. The bounds obtained are applicable to the continuous and discrete-time frameworks for the case of time-dependent interest rates. Numerical examples are provided to illustrate the accuracy of the bounds.
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中文摘要：
在处理金融风险管理问题的背景下，当定价公式不以封闭形式存在时，希望对期权价格有准确的界限。本文提出了一种求亚式期权（包括VWAP上的期权）上下界的统一方法。所得界适用于时间相关利率情况下的连续和离散时间框架。数值例子说明了边界的准确性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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