Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson and Lord. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. We generalize the methods in Deelstra et al. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. We start from methods used for basket options and Asian options. In this paper we propose pricing bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.
Deelstra, Griselda Diallo, Ibrahima Vanmaele, Michèle
