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Pricing Asian options via Fourier and Laplace transforms

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  • Gianluca Fusai

Abstract

ABSTRACT By means of Fourier and Laplace transforms, we obtain a simple expression for the double transform (with respect to the logarithm of the strike and time-to- maturity) of the price of continuously monitored Asian options. The double transform is expressed in terms of gamma functions only. The computation of the price requires a multivariate numerical inversion. We show that the numerical inversion can be performed with great accuracy and low computational cost.

Suggested Citation

  • Gianluca Fusai, . "Pricing Asian options via Fourier and Laplace transforms," Journal of Computational Finance, Journal of Computational Finance.
    • Handle: RePEc:rsk:journ0:2160460
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