In this paper we study arithmetic Asian options when the underlying stock is driven by
special semimartingale processes. We show that the inherently path dependent problem of …

We present variance reduction methods for Monte Carlo simulations to evaluate European
and Asian options in the context of multiscale stochastic volatility models. European option …

In this work, it is assumed that the underlying asset price follows Heston's stochastic volatility
model and explicit solutions for the prices of geometric Asian options with fixed and floating …

Crude oil derivatives form an important part of the global derivatives market. In this paper,
we focus on Asian options which are favoured by risk managers being effective and cost …

In this paper we propose a closed-form asymptotic expansion approach to pricing discretely
monitored Asian options in general one-dimensional diffusion models. Our expansion is a …

In this paper, we present some results on Geometric Asian option valuation for affine
stochastic volatility models with jumps. We shall provide a general framework into which …

We develop approximate formulae expressed in terms of elementary functions for the
density, the price and the Greeks of path dependent options of Asian style, in a general local …

We study singular perturbations of a class of stochastic control problems under assumptions
motivated by models of financial markets with stochastic volatilities evolving on a fast time …

This paper studies continuously sampled geometric Asian options (GAO) in a stochastic
volatility economy. The underlying asset price is assumed to follow a geometric Brownian …

This study proposes a new approximation formula for pricing average options on
commodities under a stochastic volatility environment. In particular, it derives an option …