Mathematical modelling and analysis of Asian options with stochastic strike price

The goal of this article is to introduce strike Asian options on stochastic average and to price them using a variable reduction technique. The problem of solving the associated Black–Scholes equation is reduced to finding the heat kernel of the operator . This is done by two approaches: using a geometrical method and then applying the van Vleck formula; using a moments method to get a double infinite series formula involving Hermite polynomials.