2010/08/28 by Peng Zhang, Zhang, Peng
Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications #advanced mathematical theories #q-fin.CP #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1008.4841
12 pages, 1 figure
openalex publication_date 2010/08/28 · arxiv created 2013/11/27 · arxiv updated 2013/11/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we analytically study the problem of pricing an 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 functional whose potential term is an exponential function. This path integral is evaluated by use of the Feynman-Kac theorem. After working out some auxiliary integrations involving Bessel and Whittaker functions, we arrive at the spectral expansion for the value of Asian options.