On the valuation of Asian options: integral representations

Details On the valuation of Asian options: integral representations On the valuation of Asian options: integral representations

2000-03-09

arxiv.org/abs/math/0003055v1

Mathematics

Complex Variables

27 pages, 2 figures

Scientific paper

This paper derives integral representations for the Black-Scholes price of arithmetic-average Asian options. Their proof is by Laplace inverting the 1992 Laplace transform of Geman-Yor using complex analytic methods. The analysis ultimately rests on the gamma function which in this sense is at the base of Asian options. The results of Geman-Yor are corrected and their validitity is extended.

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