英文标题：
《Model-Independent Pricing of Asian Options via Optimal Martingale
Transport》
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作者：
Florian Stebegg
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最新提交年份：
2014
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英文摘要：
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the minimising pricing model for certain types of Asian options in discrete and continuous time. In discrete time the problem is reduced to finding the optimal martingale transport for the cost function $|x+y|$. In the continuous time case we consider the cases with one and two given marginals. We describe the maximising models in both of these cases as well as the minimising model in the one-marginal case and relate the two-marginals case to the discrete time problem with two marginals.
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中文摘要：
本文讨论了具有离散和连续平均的亚式期权价格的最优模型独立（鲁棒）界的计算问题。我们将给出离散和连续时间内某些类型的亚式期权的最大化和最小化定价模型的几何特征。在离散时间内，问题归结为寻找成本函数$|x+y |的最优鞅运输。在连续时间的情况下，我们考虑一个和两个给定边缘的情况。我们描述了这两种情况下的最大化模型以及一个边际情况下的最小化模型，并将两个边际情况与两个边际的离散时间问题联系起来。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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