Path integral approach to Asian options in the Black–Scholes model
نویسندگان
چکیده
منابع مشابه
The Path Integral Approach to Financial Modeling and Options
Abstract. In this paper we review some applications of the path integral methodology of quantum mechanics to financial modeling and options pricing. A path integral is defined as a limit of the sequence of finite-dimensional integrals, in a much the same way as the Riemannian integral is defined as a limit of the sequence of finite sums. The risk-neutral valuation formula for path-dependent opt...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2010
ISSN: 0378-4371
DOI: 10.1016/j.physa.2009.10.020