Pricing Asian Options with Correlators

  title={Pricing Asian Options with Correlators},
  author={Silvia Lavagnini},
  journal={International Journal of Theoretical and Applied Finance},
  • Silvia Lavagnini
  • Published 23 April 2021
  • Economics
  • International Journal of Theoretical and Applied Finance
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… 

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