Asian Options Under One-Sided Lévy Models
نویسنده
چکیده
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.
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ورودعنوان ژورنال:
- J. Applied Probability
دوره 50 شماره
صفحات -
تاریخ انتشار 2013