This article values option contracts based on the average price realized over a finite time horizon. Such contracts are of importance to traders who periodically transact in spot markets and who require protection from adverse moves in their total accrued costs realized over their trading...

Merton, Perrakis and Ryan, Levy, and Ritchken have established option pricing bounds under first and second stochastic dominance preferences. These bounds are particularly important for valuing contingent claims when continuous trading in the claim and/or underlying security does not exist. This...

Contingent claims whose values depend on multiple sources of uncertainty arise in many financial contracts and in the analysis of real projects. Unfortunately closed form solutions for these options are rare and numerical methods can be computationally expensive. This article extends the...