Mathematics of parallel stratagems by Jalan, Priyal

“…Moreover, the model is not well-suited for pricing American and Asian options as it gives unfavourable results when compared with the other two models of Binomial Tree and Monte Carlo. …”
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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.…”

Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein–Uhlenbeck Type by Piergiacomo Sabino

“…We illustrate the applicability of the theoretical findings and the simulation algorithms in the context of pricing different contracts, namely strips of daily call options, Asian options with European style and swing options.…”
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Calculating the Price for Derivative Financial Assets of Bessel Processes Using the Sturm-Liouville Theory by Burtnyak Ivan V., Malytska Hanna P.

“…Bessel diffusion processes are used in studying Asian options. We consider the financial flows generated by the Bessel diffusions by expressing them in terms of the system of Bessel functions of the first kind, provided that they take into account the linear combination of the flow and its spatial derivative. …”
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Multi-Factor Model of Correlated Commodity - Forward Curves for Crude Oil and Shipping Markets by Ellefsen, Per Einar, Sclavounos, Paul D.

“…The use of the model is described for the pricing of derivatives written on inter- and intra-commodity futures spreads, Asian options, the valuation and hedging of energy and shipping assets, the fuel efficient navigation of shipping fleets and use in corporate risk management.…”
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Commodity market modeling and physical trading strategies by Ellefsen, Per Einar

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Robust option pricing : An [epsilon]-arbitrage approach by Chen, Si, S.M. Massachusetts Institute of Technology

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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. …”