This paper presents an efficient method for pricing discrete Asian options in presence of smile and non-proportional dividends. Using an homogeneity property, we show how to reduce an n0 dimensional problem to a one- or two-dimensional one. We examine different numerical specifications of our...

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function. Our approach relies on an...

Because of its very general formulation, the local volatility model does not have an analytical solution for European options. In this article, we present a new methodology to derive closed form solutions for the price of any European options. The formula results from an asymptotic expansion,...