Asian options belong to the so-called path-dependent derivatives. They are among the most
difficult to price and hedge, both analytically and numerically. Basket options are even …

To deal with multi-country longevity risk, this article investigates the long-run equilibrium of
mortality rates and introduces mortality correlations across countries as a means for pricing …

At retirement, most individuals face a choice between voluntary annuitization and
discretionary management of assets with systematic withdrawals for consumption purposes …

In this paper we investigate the possible values of basket options. Instead of postulating a
model and pricing the basket option using that model, we consider the set of all models …

The pricing of derivative instruments has always been a highly complex and time-consuming
activity. Advances in technology, however, have enabled much quicker and more accurate …

In this paper we propose an efficient method to compute the price of multi-asset American
options, based on Machine Learning, Monte Carlo simulations and variance reduction …

Introduction to Stochastic Finance with Market Examples, Second Edition presents an
introduction to pricing and hedging in discrete and continuous-time financial models …

This article presents lower and upper bounds on the prices of basket options for a general
class of continuous-time financial models. The techniques we propose are applicable …

Asian options are hard to price both analytically and numerically. Even though they have
been the focus of much attention in recent years, there is no single technique which is widely …

The aim of this paper is to present two different approximated dynamics for basket-options
pricing. The approximations are based on a moment-matching procedure. Single names in …