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Asian Option Pricing via Laguerre Quadrature: A Diffusion Kernel Approach

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  • P. G. Morrison

Abstract

This paper will demonstrate some new techniques for developing the theory of Asian (arithmetic average) options pricing. We discuss the basic derivation of the diffusion equations, and how various techniques from potential theory can be applied to solve these complex expressions. The Whittaker-type confluent hypergeometric functions are introduced, and we discuss how these functions are related to other systems including Mehler-Fock and modified Bessel functions. We close with a brief analysis of some index transforms and the kernels related to these integral transforms.

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  • P. G. Morrison, 2023. "Asian Option Pricing via Laguerre Quadrature: A Diffusion Kernel Approach," Papers 2307.09969, arXiv.org.
    • Handle: RePEc:arx:papers:2307.09969
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    References listed on IDEAS

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    1. Vadim Linetsky, 2004. "Spectral Expansions for Asian (Average Price) Options," Operations Research, INFORMS, vol. 52(6), pages 856-867, December.
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