Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

摘要

Highlights?We develop single transform approximation formulas for Asian option prices.?A matrix expansion technique is applied to obtain the formulas.?Extensive numerical tests illustrate the advantages of our results.AbstractRecently, Cai, Song, and Kou (2015) proposed closed-formdoubletransform approximation formulas for prices of both discretely and continuously monitored Asian options under the setting of a general continuous-time Markov chain. In this note, we analytically invert theZ-transform and the Laplace transform involved in their final results, respectively, for the discretely and the continuously monitored cases, and we obtain explicitsingleLaplace transforms of option prices. This reduction in the dimension of numerical integral has meaningful consequences b