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This document discusses methods for finding fast narrow bounds on the value of Asian options. It presents: 1) An alternative derivation of lower bounds on fixed-strike and floating-strike Asian options originally derived by Rogers & Shi (1995), leading to simpler expressions involving only one-dimensional integrals. 2) It shows this alternative derivation also leads to the lower bound for fixed-strike options derived by Curran (1992). 3) It derives an analogous lower bound for floating-strike options.

Author

Long Tran

Language

EN