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Asian Options Under One-Sided Lévy Models

Part of: Stochastic processes Mathematical finance

Published online by Cambridge University Press:  30 January 2018

P. Patie
P. Patie*
Affiliation:
Universit Libre de Bruxelles
*
∗ Postal address: Département de Mathématiques, Université Libre de Bruxelles, Boulevard du Triomphe, B-1050, Bruxelles, Belgique. Email address: ppatie@ulb.ac.be
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Abstract

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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.

Keywords

Asian optionLévy processexponential functionalhypergeometric-type function

MSC classification

Primary: 91G20: Derivative securities 60G51: Processes with independent increments; L'evy processes
Type
Research Article
Information
Journal of Applied Probability , Volume 50 , Issue 2 , June 2013 , pp. 359 - 373
Copyright
© Applied Probability Trust 

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