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Efficient computation of the optimal strikes in the comonotonic upper bound for an arithmetic Asian option

Xianming Sun, Jan Dhaene, Michèle Vanmaele


In this paper, an efficient method is proposed which accelerates the computation of the optimal strikes in the comonotonic upper bound for the value of an arithmetic Asian option. Numerical applications are carried out in the setting of Heston’s model, in which the distribution function of the underlying asset price is not available in closed form. These numerical results highlight the efficiency of the proposed method.


arithmetic Asian option, upper bound, characteristic function, super-hedging strategy

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