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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.

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