Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach
提出一种新的显式级数展开公式，用于Black-Scholes模型和Merton跳扩散模型下算术亚式期权的定价，并推广到美亚式期权，数值实验验证了方法的准确性和效率。
Abstract In this paper, we propose a new explicit series expansion formula for the price of an arithmetic Asian option under the Black–Scholes model and Merton's jump‐diffusion model. The method is based on an equivalence in law relation together with the diffusion operator integral method proposed by Heath and Platen. The method yields explicit series expansion formula for the Asian options' prices. The theoretical convergence of the expansion to the true value is established. We also consider the American Asian option (i.e., Amerasian option) and derive the corresponding expansion formula through the early exercise premium representation. Numerical results illustrate the accuracy and efficiency of the method as compared with benchmarks in the literature.