We price Asian options on commodity futures contracts in the presence of stochastic convenience yield, stochastic interest rates and jumps in the commodity spot price. We obtain a closed-form solution for the case of a geometric average option without the presence of jumps, both for continuous...

In this paper we derive asymptotic expansions for Australian options in the case of low volatility using the method of matched asymptotics. The expansion is performed on a volatility scaled parameter. We provides a solution for up to third order. In case that there is no drift in the underlying,...

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...

We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this...

In this paper we investigate the applicability of the Albrecher et. al. (2005) comonotonicity approach in the context of various benchmark models for equities and commodities. Instead of classical Levy models as in Albrecher et. al. we focus on the Heston stochastic volatility model, the...