On the Performance of the Comonotonicity Approach for Pricing Asian Option in Some Benchmark Models from Equities and Commodities
In this paper, we investigate the applicability of the comonotonicity approach in the context of various benchmark models for equities and commodities. Instead of classical Levy models as in Albrecher et al. we focus on the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and Schwartz’ 1997 stochastic convenience yield model. We show how the technical difficulties of inverting the distribution function of the sum of the comonotonic random vector can be overcome and that the method delivers rather tight upper bounds for the prices of Asian Options in these models, at least for strikes which are not too large. As a by-product the method delivers super-hedging strategies which can be easily implemented.
In the overall ownership cost of enterprise system, the maintenance cost consists of a major percentage. During the lifetime of an enterprise system, process customization is the most frequent maintenance efforts. However, current processing method has limited scalability and efficiency. In this case study, we explained how a scalable and efficient customization processing method was implemented. This method used the carbon emission trading mechanism to facilitate the cost benefit analysis of customization request. It also used distributed processing principle to improve the overall processing efficiency. Feedback from a pilot implementation in a large manufacturer included.