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20002023
most citedOn the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited

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math.CV2000★ 1 cited

On the valuation of Asian options: integral representations

Michael Schröder

This paper derives integral representations for the Black-Scholes price of arithmetic-average Asian options. Their proof is by Laplace inverting the 1992 Laplace transform of Geman…