# Pricing Asian Options with Correlators

@article{Lavagnini2021PricingAO, title={Pricing Asian Options with Correlators}, author={Silvia Lavagnini}, journal={International Journal of Theoretical and Applied Finance}, year={2021} }

We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This series requires the computation of moments and correlators of the underlying price process, but for a polynomial jump-diffusion, these are given in closed form, hence no numerical simulation is required to evaluate the series. This allows, for example, for the explicit computation of Greeks. The weight function defining the Hermite polynomials is a Gaussian density with scale b. We find that…

## References

SHOWING 1-10 OF 18 REFERENCES

Asian option pricing with orthogonal polynomials

- Economics, MathematicsQuantitative Finance
- 2018

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black–Scholes setting. The expansion is based on polynomials that are orthogonal with…

Laguerre Series for Asian and Other Options

- Mathematics
- 2000

This paper has four goals: (a) relate ladder height distributions to option values; (b) show how Laguerre expansions may be used in the computation of densities, distribution functions, and option…

Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach

- Economics
- 2016

Abstract In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. Our pricing formula consists of a Black-Scholes-Merton type formula and a…

Pricing discretely monitored Asian options under Levy processes

- Economics
- 2008

We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Levy process. For geometric Asian options we provide closed-form solutions in…

BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

- Economics
- 1993

Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula…

AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS

- Mathematics
- 2002

We propose a new method for evaluating fixed strike Asian options using moments. In particular we show that the density of the logarithm of the arithmetic average is uniquely determined from its…

Polynomial Jump-Diffusion Models

- Mathematics, Economics
- 2017

A large class of novel financial asset pricing models that are based on polynomial jump-diffusions are introduced, including a generic method for option pricing based on moment expansions.

On Some Exponential Functionals of Brownian Motion

- Mathematics
- 1992

In this paper, distributional questions which arise in certain mathematical finance models are studied: the distribution of the integral over a fixed time interval [0, T]of the exponential of…

A pricing method for options based on average asset values

- Economics, Business
- 1990

Abstract In this paper, we present a new strategy for pricing average value options, i.e. options whose payoff depends on the average price of the underlying asset over a fixed period leading up to…

Asymptotic results for exponential functionals of Levy processes

- Mathematics
- 2016

In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates.…