On the equivalence of floating- and fixed-strike Asian options by Henderson, V, Wojakowski, R

Bounds for in-progress floating-strike Asian options using symmetry by Henderson, V, Hobson, D, Shaw, W, Wojakowski, R

Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls by Dewynne, J, Shaw, W

“… <p style="text-align:justify;"> In this article, we present a simplified means of pricing Asian options using partial differential equations (PDEs). …”

Differential equations and asymptotic solutions for arithmetic Asian options: 'Black-Scholes formulae' for Asian rate calls by Dewynne, J, Shaw, W

“…In this article, we present a simplified means of pricing Asian options using partial differential equations (PDEs). …”

A model-free approach to continuous-time finance by Chiu, H, Cont, R

“…We show that the superhedging cost is characterized as the solution of a path-dependent equation. For the Asian option, we obtain an explicit solution.…”

Multilevel Monte Carlo for exponential Lévy models by Giles, M, Xia, Y

“…We also provide analysis of a trapezoidal approximation for Asian options. Our method is illustrated by numerical experiments.…”

Pathwise superreplication via Vovk’s outer measure by Beiglböck, M, Cox, A, Huesmann, M, Perkowski, N, Prömel, D

“…Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance.…”