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Completeness of the eigenfunctions of a quantum mechanical system is crucial for its probability interpretation. By using the method of contour integral we give properly normalized eigenfunctions for ...
Path Integral and Asian Options     Path Integral  Asian Options       2010/10/21
In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral...
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...
We prove existence, regularity and a Feynman-Kaˇc representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian optio...
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative L&ac...

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