Asian options versus vanilla options: a boundary analysis
Why this work is in the frame
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Bibliographic record
Abstract
Purpose The purpose of the paper is to correct a commonly mistaken notion that an Asian option is always cheaper than its plain vanilla European counterpart in a general setting. Design/methodology/approach The paper shows that by letting volatility go to zero, the lower bounds of Asian options and vanilla options are derived. Those bounds are then compared. Findings The paper finds that the notion can be violated for call options when the dividend yield of the underlying stock is higher than the interest rate, as well as for put options when the dividend yield of the underlying stock is lower than the interest rate. Research limitations/implications The approach used in this paper, boundary analysis, can be applied to other exotic options. Practical implications The results in the paper may affect decisions on trading Asian options. Originality/value The paper will be of value to those interested in using/pricing/hedging Asian options.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it