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 accepted to price Asian options for all choices of market parameters. For hedging purposes, the estimation of...

There is a rich variety of tailored investment products available to the retail investor in every developed economy. These contracts combine upside participation in bull markets with downside protection in bear markets. Examples include equity-linked contracts and other types of structured...

This paper describes a simple and efficient method for determining the optimal portfolio for a risk averse investor. The portfolio selection problem is of long standing interest to finance scholars and it has obvious practical relevance. In a complete market the modern procedure for computing...