Path integral pricing of outside barrier Asian options

DOI10.1016/J.PHYSA.2013.09.067MaRDI QIDQ1782519zbMATH OpenOpenAlexFDO

Authors 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.2013.09.067

zbMATH Keywords

Wiener integralAsian optionoutside barrier option

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 5934473 (Why is no real title available?)
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• A path integral way to option pricing
• Mathematical models of financial derivatives
• PDE and martingale methods in option pricing.
• Path integrals in physics. Vol. 1: Stochastic processes and quantum mechanics. Vol. 2: Quantum field theory, statistical physics and other modern applications
• The path integral approach to financial modeling and options pricing
• The pricing of options and corporate liabilities
• Wiener and integration in function spaces

Cited in

(6)

• Estimating option Greeks under the stochastic volatility using simulation
• A quantum anharmonic oscillator model for the stock market
• Analytical path-integral pricing of deterministic moving-barrier options under non-Gaussian distributions
• Pricing exotic options in a path integral approach
• Path integral pricing of wasabi option in the Black-Scholes model
• Path integral pricing of Asian options on state-dependent volatility models

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