Asian options with jumps (Q866600)

The authors consider a Black-Scholes type model of geometric Brownian motion with a jump at a random time, which appears in incomplete financial markets. They obtain a formula for the price of an Asian option at a random exponential maturity, so that the fixed maturity option price can be numerically computed by inverting the Laplace transform. The authors also consider a multi-jump case and derive an integro-differential equation whose solution leads to the time zero price of an Asian option.