Asian option pricing via Laguerre quadrature: a diffusion kernel approach

DOI10.1007/978-3-031-47417-0_16zbMATH Open1548.91122MaRDI QIDQ6630455

P. G. Morrison

Publication date: 31 October 2024

zbMATH Keywords

integral transformsmodified Bessel functionsoptions pricingMehler-Fock functions

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20) Integral transforms of special functions (44A20) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Cites Work

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• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Spectral Expansions for Asian (Average Price) Options
• A New Class of Orthogonal Polynomials: The Bessel Polynomials
• On Some Algebraic Properties of the Bessel Polynomials

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