Pricing Asian options in a semimartingale model
研究了当标的股票由特殊半鞅过程驱动时，算术亚式期权的定价问题，将路径依赖问题转化为无路径依赖问题，并证明价格由独立增量过程驱动，适用于离散或连续期权。
In this paper we studyy arithmetic Asian options when the underlying stock is driven by special semimartingale processes. We show that the inherently path dependent problem of pricing Asian options can be transformed into a problem without path dependence in the payoff function. We also show that the price is driven by a process with independent increments, Levy processes being a special case. This approach applies for both discretely or continuously options.