Journal of Applied Probability

Asian options under one-sided Lévy models

P. Patie

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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.

Article information

Source
J. Appl. Probab., Volume 50, Number 2 (2013), 359-373.

Dates
First available in Project Euclid: 19 June 2013

Permanent link to this document
https://projecteuclid.org/euclid.jap/1371648946

Digital Object Identifier
doi:10.1239/jap/1371648946

Mathematical Reviews number (MathSciNet)
MR3102485

Zentralblatt MATH identifier
1266.91109

Subjects
Primary: 91G20: Derivative securities 60G51: Processes with independent increments; Lévy processes

Keywords
Asian option Lévy process exponential functional hypergeometric-type function

Citation

Patie, P. Asian options under one-sided Lévy models. J. Appl. Probab. 50 (2013), no. 2, 359--373. doi:10.1239/jap/1371648946. https://projecteuclid.org/euclid.jap/1371648946


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