Model-Independent Pricing of Asian Options via Optimal Martingale Transport

Understand

In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging.

• We will give geometric characterisations of the maximising and the minimising pricing model for certain types of Asian options in discrete and continuous time.
• In discrete time the problem is reduced to finding the optimal martingale transport for the cost function $|x+y|$.
• In the continuous time case we consider the cases with one and two given marginals.