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

DOI10.1016/J.PHYSA.2014.07.012MaRDI QIDQ1783050zbMATH 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.2014.07.012

zbMATH Keywords

cumulative Parisian optionpath integralwasabi option

Mathematics Subject Classification ID

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

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Cites work

• Brownian Excursions and Parisian Barrier Options
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 5934473 (Why is no real title available?)
• On Distributions of Certain Wiener Functionals
• Path integral pricing of outside barrier Asian options
• Path integrals in physics. Vol. 1: Stochastic processes and quantum mechanics. Vol. 2: Quantum field theory, statistical physics and other modern applications
• PDE and martingale methods in option pricing.
• Pricing exotic options in a path integral approach
• Quantum Finance
• Stochastic calculus for finance. II: Continuous-time models.
• The path integral approach to financial modeling and options pricing
• The pricing of options and corporate liabilities

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