Journal of Computational Finance

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Pricing Asian options via Fourier and Laplace transforms

Gianluca Fusai

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.

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