In this paper, we develop a Markov chain-based approximation method to price arithmetic Asian options for short … options for which previous methods in the literature have shown either slower convergence or instabilities in hedging … parameters. We also consider the pricing and hedging of floating-strike Asian options and fixed-strike in-progress Asian options …

method for pricing continuously monitored occupation time derivatives (step options, conditional Asian options) and … arithmetic Asian options and their Greeks. We fill the gap in the current literature on the analysis of CTMC approximation errors … for pricing Asian options by not only rigorously proving the exact second order convergence rate but also developing …

options whose underlying asset evolves according to a generic one-dimensional Markov process. This set of stochastic processes … addition, this framework may be extended to include additional features of barrier options often encountered in practice … for the price and Greeks of continuously-monitored double barrier options with time-dependent barriers under general …

discretely and continuously monitored Asian options under the setting of a general continuous-time Markov chain. In this note, we …

approach in the seminal paper Broadie and Detemple (1996) from the case of American call options to the case of American …