Pricing Asian Options with Correlators

We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This requires computation moments and correlators underlying asset which polynomial jump–diffusion process are given analytically; hence, no numerical simulation is required to evaluate series. allows analytical expressions option Greeks. The weight function defining Gaussian density with scale b. find that rate convergence depends on b, we prove lower bound guarantee convergence. Numerical examples show accurate but unstable initial values far from zero, mainly due rounding errors.