Journal of Computational Finance

Pricing Asian options via Fourier and Laplace transforms

Gianluca Fusai


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.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here