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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…
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…