This article derives the first analytical pricing formulas for American-style Asian options of the so-called floating strike type. Geometric as well as arithmetic averaging is considered. The setup is a standard Black-Scholes framework where the price of the underlying security evolves according...

The paper sets up a stylized, dynamic model for a life insurance company in which the issues of embedded option and interest rate guarantee valuation, insolvency risk management, and market valuation of the balance sheet elements as well as some additional issues can be analyzed. The liability...