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...

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...

This paper presents a numerical method to price American exchange options based on jump-diffusion processes. We first derive a closed-form expression for the value of European exchangeoptions, then decompose the value function of an American exchange option into a Europeancounterpart, and an...