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