Due to the fact that the over-the-counter (OTC) market has no organized exchange, the options traded in the OTC market are more likely to be exposed to the credit risk. Asian option is one of them. In this paper we first discuss the pricing of arithmetic Asian options and the Black-Scholes...

In this paper we provide an accurate and efficient method for valuing Asian options that works well for the low and medium volatility as well as longer average time window. Numerical results show that our method significantly outperforms the other analytic approximation methods in the...

This study is on valuing Asian strike options and presents efficient and accurate quadratic approximation methods that work extremely well, both with regard to the volatility of a wide range of underlying assets, and longer average time windows. We demonstrate that most of the well-known...

Motivated from the charting analysis in the financial industry, Chen and He (2003) are the first to use self-organizing maps to search for and identify price patterns. Such a model is referred to as the trajectory-domain model (TDM). Chen and Tsao (2003) apply the TDMs to three American stock...

The 2008 financial crisis forced investors to be more concerned with the risk management of financial instruments, especially derivatives. The main objective of this paper is to study the effect of issuer credit risk on the pricing of options. In particular, we focus on Asian options, which are...

Value-at-Risk (VaR) has become one of the standard measures for assessing risk not only in the financial industry but also for asset allocations of individual investors. The traditional mean-variance framework for portfolio selection should, however, be revised when the investor's concern is the...