Asian options are securities with a payoff that depends on the average of the underlying stock price over a certain time interval. We identify three natural assets that appear in pricing of the Asian options, namely a stock S, a zero coupon bond BT with maturity T, and an abstract asset A (an...

The contracts written on the harmonic average of the underlying price are quite popular in the foreign exchange market. If X denotes the foreign currency and Y denotes the domestic currency, the payoff of the contract is a function of a price of an asset H which is defined asH(T) =...