Analytic bounds and approximations for annuities and Asian options
Steven Vanduffela,, Zhaoning Shanga, Luc Henrardb, Jan Dhaenea, Emiliano A. Valdezc
a Katholieke Universiteit Leuven, Belgium
b Fortis, Belgium
c University of New South Wales, Australia
Received August 2007; received in revised form February 2008; accepted 20 February 2008