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The Laplace transform approach to valuing exotic options: the case of the Asian option

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Mathematical Finance

Part of the book series: Trends in Mathematics ((TM))

Abstract

This talk discusses integral representations for the Black—Scholes price of arithmetic—average Asian options. They are obtained by Laplace inversion using complex analytic methods and are based on the results of [GY]. It is discussed how these results are to be adapted to now valuing Asian options, and how restrictions to their validitity can be lifted.

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References

  1. H. Geman, M. Yor: Bessel processes, Asian options, and perpetuitiesMath. Finance 3(1993), 349–375.

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Author information

Authors and Affiliations

  1. Lehrstuhl Mathematik III, Universität Mannheim, Mannheim, D-68131, Germany

    Michael Schröder

Authors
  1. Michael Schröder
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Editor information

Editors and Affiliations

  1. Fakultät für Mathematik und Informatik, Universität Konstanz, Postfach 5560, Konstanz, D-78434, Germany

    Michael Kohlmann

  2. Department of Mathematics, Fudan University, Shanghai, 200433, China

    Shanjian Tang

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© 2001 Springer Basel AG

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Schröder, M. (2001). The Laplace transform approach to valuing exotic options: the case of the Asian option. In: Kohlmann, M., Tang, S. (eds) Mathematical Finance. Trends in Mathematics. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8291-0_31

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  • DOI: https://doi.org/10.1007/978-3-0348-8291-0_31

  • Publisher Name: Birkhäuser, Basel

  • Print ISBN: 978-3-0348-9506-4

  • Online ISBN: 978-3-0348-8291-0

  • eBook Packages: Springer Book Archive

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