try here...http://www.stat.columbia.edu/~vecer/You may find some useful papers...

Try Here...... hope it Helps.www.quantnotes.com/usefullinks/software.htmEdo.

I wrote my thesis on Asian Options, (in Italian) Anyway, here it is!Hope it helps.e.

As said in my prevoius post, Jan Vecer's paper "Unified Pricing fon Asian Options" 2002deals with both discrete and continue averaging for average strike and average rate options.unfortunately is a pde method...but it works!cordialmente,edoardobarra

<r> You are talking about approximations to price them ?have a look to vecer's paper about asian option pricing, it talks about both average rate and average strike asians.<URL url="http://www.stat.columbia.edu/~vecer/hope">http://www.stat.columbia.edu/~vecer/hope</URL> it helps,cordialmente edoardo...

<t>bartoliniI'm doing some MC simuation both in a continue and discrete averaging framework...prices are very different, of course... i.m.h.o. I think the price of an analytical model (where averaging is continuous, i.e. is an Integration) is quite different from the real price with 12 averaging a y...

<t>something really new in asian option pricing could be:Linetsky 2001 - "exact pricing of asian options..."Zhang 2002 - "pricing continously sampled asian..."Dufresne 1999 - "laguerre series for asian and other options"Lewis 2002 - "asian connections"- the last one is just like linetsky but much si...

<t>of course you can use mu = r, and you'll get the same option price using the B&S formula...but things will be different princing a path-dependent option with Monte Carlo Simulation and using mu = r.the point is:if I'm just interestet in the asset path I must use muif I want an asset path to p...

<t>Hi everybody!Performing some MC simulations for Asset Paths and Asian Options pricing I noticed something pretty strange..according to Paul Wilmott Introduces QF, chap. 8.4 B&S equation In the Black & Sholes equation (risk neutral) applying Ito's lemma to asset paths and then to option pr...

Try this :www.polito.it/~brandimarteand download the zip archive with lot of matlab code, that could be useful...of course you may also take a look to the book.(hope this helps)edoardo

Thank you!Doing it numerically let me discover where exactly the problem was...and now I'm searching specific help in Mathematica forum.I'll take my time debugging.Thanks.Edoardo Barra

<t>I've been working on this problem a little bit and I discovered that the error is in the way on wich Mathematica perform symbolic integration.... so the new question is:Does anybody know something about integrals in Mathematica (Assumptions , Simplify, ...), and moreover something about avoiding ...

<t>I'm trying to use Zhang's Analytical model for Asian Option pricing (2002) but there are some problems I can't get out of...The main problem arise calculating the second order approximation function (f2 in the model).Coefficient a20 in this function seems to be bigger than expectet and I don't kn...