On Asian option pricing for NIG Lévy processes

In this paper, we derive approximations and bounds for the Esscher price of European-style arithmetic and geometric average options. The asset price process is assumed to be of exponential Lévy type with normal inverse Gaussian (NIG) distributed log-returns. Numerical illustrations of the accuracy of these bounds as well as approximations and comparisons of the NIG average option prices with the corresponding Black–Scholes prices are given.