Geometric Asian Option Pricing in General Affine Stochastic Volatility   Models with Jumps
  In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain close-form solutions for some relevant affine model classes. 
Friedrich Hubalek, Martin Keller-Ressel, Carlo Sgarra
q-fin.PR