The authors present an analytical approximation formula for zero-coupon bond prices in a one-factor term structure model where the short interest rate follows a lognormal diffusion. An analytical bound on the error is also derived and is used to show that the pricing formula is virtually exact...

This article derives the first analytical pricing formulas for American-style Asian options of the so-called floating strike type. Geometric as well as arithmetic averaging is considered. The setup is a standard Black-Scholes framework where the price of the underlying security evolves according...

We present an analytical formula for zero-coupon bond prices in a one-factor term structure model where the spot interest rate follows a log-normal diffusion. The pricing formula is implemented via a recursive algorithm which is easily coded and which is extremely fast. Illustrative numerical...

This paper derives analytical pricing formulas for American-style Asian options. Geometric as well as arithmetic averaging is considered. The setup is a standard Black-Scholes framework where the price of the underlying security evolves according to a geometric Brownian motion. A decomposition...