Pricing Asian options in financial markets using Mellin transforms

Abstract

We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.

Keywords

• Asian option
• Ornstein-Uhlenbeck type process
• Levy processes
• martingale
• Mellin transform