منابع مشابه
Asian Options Under One-Sided Lévy Models
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.
متن کاملAsian options and meromorphic Lévy processes
One method to compute the price of an arithmetic Asian option in a Lévy driven model is based on the exponential functional of the underlying Lévy process: If we know the distribution of the exponential functional, we can calculate the price of the Asian option via the inverse Laplace transform. In this paper we consider pricing Asian options in a model driven by a general meromorphic Lévy proc...
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We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European-style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The...
متن کاملLaw of the Exponential Functional of One-sided Lévy Processes and Asian Options
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative Lévy process ξ = (ξt, t ≥ 0) with unbounded variation. We also derive a Geman-Yor type formula for Asian options prices in a financial market driven by e. Résumé. Loi de la fonctionnelle exponentielle d...
متن کاملProbability Theory Law of the Exponential Functional of One-sided Lévy Processes and Asian Options
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative Lévy process ξ = (ξt, t ≥ 0) with unbounded variation. We also derive a Geman-Yor type formula for Asian options prices in a financial market driven by eξ. Résumé. Loi de la fonctionnelle exponentielle ...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2013
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1371648946