## On the valuation of arithmetic–average Asian options: explicit formulas (1999)

Citations: | 8 - 3 self |

### BibTeX

@MISC{Schröder99onthe,

author = {Michael Schröder},

title = {On the valuation of arithmetic–average Asian options: explicit formulas},

year = {1999}

}

### OpenURL

### Abstract

In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced in [D] to computing the negative moments of Yor’s accumulation processes for which functional recursion rules are given. Stressing the role of Theta functions, this paper now solves these recursion rules and expresses these negative moments as linear combinations of certain Theta integrals. Using the Jacobi transformation formula, very rapidly and very stably convergent series for them are derived. In this way a computable series for Black–Scholes price of the Asian option results which is numerically illustrated. Moreover, the Laguerre series approach of [D] is made rigorous, and extensions and modifications are discussed. The key for this is the analysis of the integrability and growth properties of the Asia density in [Y], basic problems which seem to be addressed here for the first time. 1. Introduction: Asian