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math.CA2001★ 12 cited
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited
Peter Carr, Michael Schröder
The 1993 Laplace transform approach of Geman and Yor is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a financial perspec…
math.CA2000★ 2 cited
On the valuation of arithmetic-average Asian options: Laguerre series and Theta integrals
Michael Schröder
In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced by Dufresne to computing the negative moments of Yor's accumulation processe…