Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do not depend on past histories. Asian options are popular path-dependent derivatives, and it has been a long-standing problem to price them efficiently and accurately. No known exact pricing formulas are available to pri...

This paper proposes the sample path generation method for stochastic volatility version of CGMY process. We present Monte-Carlo European and American option pricing with calibrate model parameters to style S&P 100 index options market, using least square regression method. Moreover, we discuss path-dependent options, such as Asian Barrier options.