Moments of integrated exponential Lévy processes and applications to Asian options pricing

Riccardo Brignone

Quantitative Finance, 2022, vol. 22, issue 9, 1717-1729

Abstract: 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.

Date: 2022
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DOI: 10.1080/14697688.2022.2070533

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