There is considerable interest in finding numerical methods to price Asian options. Tse and Mok (2009) have proposed a new very simple closed-form expression for the price of a fixed-strike Asian option. Unfortunately their formula is not correct. This note shows that it is incorrect and...

In this paper, we discuss a newly introduced exotic derivative called the “Timer Option”. Instead of being exercised at a fixed maturity date as a vanilla option, it has a random date of exercise linked to the accumulated variance of the underlying stock. Unlike common...

The paper develops an efficient Monte Carlo method to price discretely monitored Parisian options based on a control variate approach. The paper also modifies the Parisian option design by assuming the option is exercised when the barrier condition is met rather than at maturity. We obtain...