Tuenter considered centered binomial sums of the form Sr(n) = 2n ∑

We address the problem of valuation and hedging of Asian basket and spread options derivatives common in energy markets. We extend the Generalized LogNormal approach, introduced in Borovkova et al. (2007), to Asian basket options and apply it to energy option markets. We provide closed form formulae for the option price and the greeks, which is extremely useful for option traders. Inverting the...

We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading in the underlying future is restricted. Liquid trading in the future is only possible up to the start of a so-called delivery period. After the start of the delivery period, the hedge positions can not be adjusted anymore until maturity. This reflects the trading situation at t...

We investigate in this paper some numerical aspects of quadratic functional quantization of Gaussian processes, especially, the Brownian motion (and the Brownian bridge). We illustrate the numerical efficiency of functional quantization on the Asian option pricing in a Black & Scholes model.

We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model (HEM). Similar results are only available previously in the special case of the Black-Scholes model (BSM). Even in the case of the BSM, our approach is simpler as we essentially use only Itô’s formula and do not need more advanced results such as those of Bessel pr...

The purpose of this paper is to study the problem of pricing Asian options using the multilevel Monte Carlo method recently introduced by Giles [8] and to prove a central limit theorem of Lindeberg Feller type for the obtained algorithm. Indeed, the implementation of such a method requires first a discretization of the integral of the payoff process. To do so, we use two well-known second order...