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On the valuation of Asian options: integral representations

Michael Schröder
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Abstract

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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Michael Schröder. 2000-03-09. On the valuation of Asian options: integral representations. https://arxiv.org/abs/math/0003055

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