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...

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...