Near-Earth asteroids have attracted attention for both scientific and commercial mission applications. Due to the fact that the Earth-Moon L1 and L2 points are candidates for gateway stations for lunar exploration, and an ideal location for space science, capturing asteroids and inserting them into periodic orbits around these points is of significant interest for the future. In this paper, we define a new type of lunar asteroid capture, termed direct capture. In this capture strategy, the candidate asteroid leaves its heliocentric orbit after an initial impulse, with its dynamics modelled using the Sun-Earth-Moon restricted four-body problem until its insertion, with a second impulse, onto the L2 stable manifold in the Earth-Moon circular restricted threebody problem. A Lambert arc in the Sun-asteroid two-body problem is used as an initial guess and a differential corrector used to generate the transfer trajectory from the asteroid's initial obit to the stable manifold associated with Earth-Moon L2 point. Results show that the direct asteroid capture strategy needs a shorter flight time compared to an indirect asteroid capture, which couples capture in the Sun-Earth circular restricted three-body problem and subsequent transfer to the Earth-Moon 2 circular restricted three-body problem. Finally, the direct and indirect asteroid capture strategies are also applied to consider capture of asteroids at the triangular libration points in the Earth-Moon system.