most citedPricing of Asian-type and Basket Options via Upper and Lower Bounds

2 citations · 2 across the 1 of their papers we have counts for

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1 paper

q-fin.MF2016★ 2 cited

Pricing of Asian-type and Basket Options via Upper and Lower Bounds

Alexander Novikov, Scott Alexander, Nino Kordzakhia +1

This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket and options on t…