Fusai, Gianluca; Meucci, Attilio - In: Journal of Banking & Finance 32 (2008) 10, pp. 2076-2088
We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Levy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Levy-stable case....