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 volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat...

Crowd analysis is of increasing interest. Sociologists, for example, are interested in studying social influence within and between small groups of individuals traveling in a crowd. However, current empirical studies conducted by human observers are very time-consuming. We propose an automatic,...