On the valuation of Asian options: integral representations
Complex Variables
2016-08-15 v1 Probability
Abstract
This paper derives integral representations for the Black-Scholes price of arithmetic-average Asian options. Their proof is by Laplace inverting the 1992 Laplace transform of Geman-Yor using complex analytic methods. The analysis ultimately rests on the gamma function which in this sense is at the base of Asian options. The results of Geman-Yor are corrected and their validitity is extended.
Keywords
Cite
@article{arxiv.math/0003055,
title = {On the valuation of Asian options: integral representations},
author = {Michael Schröder},
journal= {arXiv preprint arXiv:math/0003055},
year = {2016}
}
Comments
27 pages, 2 figures