In this paper we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of [5] and of [8] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only with a lognormal random variable but al...

Averaging problems are ubiquitous in Finance with the valuation of the so–called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numerical work on them, and their stochastic structure has been extensively studied by Yor and his school. However, the analytical structure of these problems is largely unstudied. Our philosophy now is that such valuation...

This thesis contains three essays on option pricing. The first discusses a way to measure the risk of the short trader of an option if he decides to hedge partially his position. The second deals with the pricing of American-style Asian options, and the third with call and put options embedded in bonds. The first essay considers the case of a short trader of an option who decides to partially h...

The objective of this paper is twofold. Firstly, to derive time-fractional evolution equation modeling the No-Arbitrage premium Asian option (with arithmetic and geometric averages ) contingent upon an underlying asset that satisfies fractional stochastic differential equation, in a setting when strike price fixed floating. Secondly, we have computed four versions put-call parities for options,...

Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain threshold. Due to the limited inclusion of prices, conditional Asian options f...

Conditional Asian options are recent market innovations, which offer cheaper and longdated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain threshold. Due to the limited inclusion of prices, conditional Asian options fu...

This paper describes an parallel semi-Lagrangian nite diierence approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic tra...

In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform inversion and Monte Carlo simulation. In attempting to numerically invert the Laplace transform of the Asian call option that has been derived previously in the literature, we point out some of the potential difficulties inherent in this approach. We investigate the effectiveness of two easy-to-impl...

In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced in [D] to computing the negative moments of Yor’s accumulation processes for which functional recursion rules are given. Stressing the role of Theta functions, this paper now solves these recursion rules and expresses these negative moments as linear combinations of certain Theta integrals. U...