Bounds for in-progress floating-strike Asian options using symmetry.

Vicky Henderson David Hobson William Shaw Rafal Wojakowski

Published in: Ann. Oper. Res. (2007)

Keyphrases

upper bound
lower bound
payoff functions
lower and upper bounds
symmetry detection
worst case
upper and lower bounds
tight bounds
hong kong
option pricing
real time
database
np hard
decision trees
real world
bilateral symmetry
rotationally symmetric