Pricing discretely monitored asian options by maturity randomization

We present a new methodology based on maturity randomization to price discretely monitored arithmetic Asian options when the underlying asset evolves according to a generic Lévy process. Our randomization technique considers the option expiry to be a random variable distributed according to a geometric distribution of a parameter independent of the underlying process. This allows one to transform the pricing backward procedure into a set of independent integral equations. Numerical procedures for a fast and accurate solution of the pricing problem are provided.