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We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The exponential convergence rates of Fourier cosine expansions and Clenshaw–Curtis quadrature reduces the CPU time of the method to milliseconds for geometric Asian options and a few seconds for arithmetic Asian options. The method’s accuracy is illustrated by a detailed error analysis and by various numerical examples.

An analytical model for tidal dynamics has been applied to the Yangtze Estuary for the first time, to describe the tidal propagation in this large and typically branched estuary with three-order branches and four outlets to the sea. This study shows that the analytical model developed for a single-channel estuary can also accurately describe the tidal dynamics in a branched estuary, particularly in the downstream part. Within the same estuary system, the North Branch and the South Branches have a distinct tidal behaviour: the former being amplified demonstrating a marine character and the latter being damped with a riverine character. The satisfactory results for the South Channel and the South Branch using both separate and combined topographies confirm that the branched estuary system functions as an entity. To further test these results, it is suggested to collect more accurate and dense bathymetric and tidal information.