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

DOI10.1016/J.PHYSA.2014.07.012zbMATH Open1402.91760OpenAlexW2017797897MaRDI QIDQ1783050FDOQ1783050

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.2014.07.012

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zbMATH Keywords

path integralcumulative Parisian optionwasabi option

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• Title not available (Why is that?)
• PDE and martingale methods in option pricing.
• Brownian Excursions and Parisian Barrier Options
• Path integrals in physics. Vol. 1: Stochastic processes and quantum mechanics. Vol. 2: Quantum field theory, statistical physics and other modern applications
• On Distributions of Certain Wiener Functionals
• Title not available (Why is that?)
• Quantum Finance
• The path integral approach to financial modeling and options pricing
• Path integral pricing of outside barrier Asian options
• Pricing exotic options in a path integral approach

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