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A different approach for pricing Asian options. (English) Zbl 1154.91438
Summary: We analyze the value of an Asian arithmetic option with an approach different from that used by H. Geman and M. Yor [Math. Finance 3, No. 4, 349–375 (1993; Zbl 0884.90029)] with Bessel processes in 1993. We obtain the same solution of the valuation problem, without using any previous results based on Bessel processes; by means of partial differential equations, integral transforms, and the program Mathematica.

91G20 Derivative securities (option pricing, hedging, etc.)
60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
44A10 Laplace transform
Full Text: DOI
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