Pricing Asian Options in a Semimartingale Model∗
نویسندگان
چکیده
Abstract. In this article we study arithmetic Asian options when the underlying stock is driven by special semimartingale processes. We show that the inherently path dependent problem of pricing Asian options can be transformed into a problem without path dependency in the payoff function. We also show that the price satisfies a simpler integro-differential equation in the case the stock price is driven by a process with independent increments, Lévy process being a special case.
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