Path integral pricing of wasabi option in the Black-Scholes model

DOI10.1016/j.physa.2014.07.012zbMath1402.91760OpenAlexW2017797897MaRDI QIDQ1783050

Aurelien Cassagnes, Yu Chen, Hirotada Ohashi

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.2014.07.012

zbMATH Keywords

path integralcumulative Parisian optionwasabi option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• PDE and martingale methods in option pricing.
• The path integral approach to financial modeling and options pricing
• Path integral pricing of outside barrier Asian options
• Stochastic calculus for finance. II: Continuous-time models.
• Brownian Excursions and Parisian Barrier Options
• Quantum Finance
• Pricing exotic options in a path integral approach
• On Distributions of Certain Wiener Functionals

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