Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is always cheaper than its plain vanilla European counterpart in a general setting. Design/methodology/approach – The paper shows that by letting volatility go to zero, the lower bounds of Asian...

Liquidity risk, i.e., the likelihood that a swap can be “sold” (i.e., assigned) may affect swap prices. This article addresses the importance of liquidity risk as a factor in the valuation of swaps, which are subject to default risk. The author presents a model for pricing these swaps by...

This paper takes a new approach to investigate the interaction between the U.S. and China's stock markets. Since the U.S. and China's stock markets have no overlap in their trading hours, many empirical studies show that the daily returns on these two markets are not correlated. In this paper,...