Path Integral and Asian Options

Details Path Integral and Asian Options Path Integral and Asian Options

2010-08-28

arxiv.org/abs/1008.4841v1

Economy

Quantitative Finance

Pricing of Securities

12 pages, 1 figure

Scientific paper

In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action whose potential term is an exponential function, i.e. the Liouville Hamiltonian, which can be explicitly solved. After working out some auxiliary integrations involving Bessel and Whittaker functions, we arrive at the spectral expansion expression of the value of an Asian option.

Affiliated with

Also associated with

No associations

Rating

Path Integral and Asian Options does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Path Integral and Asian Options, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Path Integral and Asian Options will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-529555