Moments of integrated exponential Lévy processes and applications to Asian options pricing
推导了指数型Lévy过程时间积分的无条件矩和条件矩的显式公式，并基于此提出了密度重建和高效模拟方法，用于亚式期权定价。
We find explicit formulas for the moments of the time integral of an exponential Lévy process. We consider both the cases of unconditional moments and conditional on the Lévy process level at the endpoints of the time interval. We propose a new methodology for reconstructing the unknown density of the time integral based on unconditional moments and an efficient simulation scheme based on conditional moments. These methodologies are applied for Asian option pricing, an important problem in financial literature.