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.…”

History dependence in stock price evolution by Zuberi, RS

“…Also mentioned is an Asian option type payoff used by traders to trade the cross-overs of two different (time scale) moving averages.…”

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.…”

The computation of Greeks with multilevel Monte Carlo by Burgos, S

“…</p> <p>We develop multilevel Monte Carlo estimators for the Greeks of a range of options: European options with Lipschitz payoffs (e.g. call options), European options with discontinuous payoffs (e.g. digital options), Asian options, barrier options and lookback options. …”