Universitext is a series of textbooks that presents material from a wide variety of
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Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …

Asian options belong to the so-called path-dependent derivatives. They are among the most
difficult to price and hedge, both analytically and numerically. Basket options are even …

We obtain a closed-form solution for the double-Laplace transform of Asian options under
the hyper-exponential jump diffusion model. Similar results were available previously only in …

We first introduce some basic knowledge on stocks, bonds, foreign currencies, commodities,
and indices, all of which are called assets in this book. Huge volumes of stocks are traded …

The pricing of derivative instruments has always been a highly complex and time-consuming
activity. Advances in technology, however, have enabled much quicker and more accurate …

In this paper we set up the theoretical framework for the valuation of the Asian-style options
traded in the freight derivatives market. Assuming lognormal spot freight dynamics, we show …

We propose an accurate method for pricing arithmetic Asian options on the discrete or
continuous average in a general model setting by means of a lower bound approximation. In …

Asian options are hard to price both analytically and numerically. Even though they have
been the focus of much attention in recent years, there is no single technique which is widely …

We construct a sequence of functions that uniformly converge (on compact sets) to the price
of an Asian option, which is written on a stock whose dynamics follow a jump diffusion. The …