Asian options under one-sided Lévy models

P. Patie

doi:10.1239/jap/1371648946

Abstract

We generalize, in terms of power series, the celebrated Geman-Yor formula for the pricing of Asian options in the framework of spectrally negative Lévy-driven assets. We illustrate our result by providing some new examples.

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P. Patie. "Asian options under one-sided Lévy models." J. Appl. Probab. 50 (2) 359 - 373, June 2013. https://doi.org/10.1239/jap/1371648946

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Published: June 2013

First available in Project Euclid: 19 June 2013

zbMATH: 1266.91109

MathSciNet: MR3102485

Digital Object Identifier: 10.1239/jap/1371648946

Subjects:

Primary: 60G51 , 91G20

Keywords: Asian option , exponential functional , hypergeometric-type function , Lévy process

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