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 …

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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 …

In this paper a couple of variance dependent instruments in the financial market are studied.
Firstly, a number of aspects of the variance swap in connection to the Barndorff-Nielsen and …

In this paper, we generalize the recently developed dimension reduction technique of Vecer
for pricing arithmetic average Asian options. The assumption of constant volatility in Vecer's …

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 …

The purpose of this paper is to describe the appropriate mathematical framework for the
study of the duality principle in option pricing. We consider models where prices evolve as …

This paper discusses an extension of the traditional lognormal representation for the risk
neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random …

The Asian option pricing problem is a lot like the American put problem in the 1970s. An
Asian payoff is a rather simple, and common, option feature, but it messes up our clean …

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with
general independently distributed returns in the underlying. Our work complements the …