It is shown that the distribution of the ratio of two independent gamma-distributed random variables is infinitely divisible. This result provides a solution to an unsolved problem given by F. W. Steutel [4] in a survey of recent developments in the theory of infinite divisibility.

Analytical bounds for Asian options are almost exclusively available in the Black–Scholes framework. In this paper we derive bounds for the price of a discretely monitored arithmetic Asian option when the underlying asset follows an arbitrary Lévy process. Explicit formulas are given for...