There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating and fixed-strike Asian options. The proof involves a change of numéraire and time reversal of Brownian motion. Symmetries are very useful in option valuation and in this case, the result allows the use of more established fixed-str...

In modern asset price models, stochastic volatility plays a crucial role in order to explain several stylized facts of returns. Recently, [3] introduced a class of stochastic volatility models (so called BNS SV model) based on superposition of Ornstein-Uhlenbeck processes driven by subordinators. The BNS SV model forms a flexible class, where one can easily explain heavy-tails and skewness in r...

A simple and numerically stable 2-term partial differential equation characterizing the price of any type of arithmetically averaged Asian option is given. The approach includes both continuously and discretely sampled options and it is easily extended to handle continuous or discrete dividend yields. In contrast to present methods, this approach does not require to implement jump conditions fo...

This paper has four goals: (a) relate ladder height distributions to option values; (b) show how Laguerre expansions may be used in the computation of densities, distribution functions and option prices; (c) derive some new results on the integral of geometric Brownian motion over a finite interval; (d) apply the preceding results to the determination of the distribution of the integral of geom...

Canadian university students either of Chinese origin (CC) or non-Asian origin (NAC) and Chinese university students educated in Asia (AC) solved simple-arithmetic problems in the 4 basic operations (e.g., 3 + 4, 7 - 3, 3 x 4, 12 divided by 3) and reported their solution strategies. They also completed a standardized test of more complex multistep arithmetic. For complex arithmetic, ACs outperf...

Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist for these popular options, how to price them numerically in an efficient and accurate manner has been extensively investigated. There are two types of Asian options, fixed-strike and floating-strike Asian options. Excel...

For discrete arithmetic Asian options the payoff depends on the price average of the underlying asset. Due to the dependence structure between the prices of the underlying asset, no simple exact pricing formula exists, not even in a Black-Scholes setting. In the recent literature, several approximations and bounds for the price of this type of option are proposed. One of these approximations co...