  Conditional Asian options are recent market innovations, which offer cheaper
and long-dated alternatives to regular Asian options. In contrast with payoffs
from regular Asian options which are based on average asset prices, the payoffs
from conditional Asian options are determined only by average prices above
certain threshold. Due to the limited inclusion of prices, conditional Asian
options further reduce the volatility in the payoffs than their regular
counterparts and have been promoted in the market as viable hedging and risk
management instruments for equity-linked life insurance products. There has
been no previous academic literature on this subject and practitioners have
only been known to price these products by simulations. We propose the first
analytical approach to computing prices and deltas of conditional Asian options
in comparison with regular Asian options. In the numerical examples, we put to
the test some cost-benefit claims by practitioners. As a by-product, the work
also presents some distributional properties of the occupation time and the
time-integral of geometric Brownian motion during the occupation time.
