Publication
Title
Path integral approach to Asian options in the Black-Scholes model
Author
Abstract
We derive a closed-form solution for the price of an average strike as well as an average price geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also develop a pricing formula for an Asian option with a barrier on a control process, combining the method of images with a partitioning of the set of paths according to the average along the path. This formula is exact when the correlation is zero, and is approximate when the correlation increases.
Language
English
Source (journal)
Physica: A: theoretical and statistical physics. - Amsterdam
Publication
Amsterdam : 2010
ISSN
0378-4371
Volume/pages
389:4(2010), p. 780-788
ISI
000273694300015
Full text (Publisher's DOI)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 06.02.2010
Last edited 03.08.2017
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