Path integral pricing of outside barrier Asian options

DOI10.1016/j.physa.2013.09.067zbMath1402.91759OpenAlexW2014565478MaRDI QIDQ1782519

Hirotada Ohashi, Aurelien Cassagnes, Yu Chen

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.09.067

zbMATH Keywords

Wiener integralAsian optionoutside barrier option

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Derivative securities (option pricing, hedging, etc.) (91G20) Path integrals in quantum mechanics (81S40)

Related Items (3)

A quantum anharmonic oscillator model for the stock market ⋮ Estimating option Greeks under the stochastic volatility using simulation ⋮ Path integral pricing of wasabi option in the Black-Scholes model

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Mathematical models of financial derivatives
• PDE and martingale methods in option pricing.
• The path integral approach to financial modeling and options pricing
• A path integral way to option pricing
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• Wiener and integration in function spaces

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