Morse Potential, Contour Integrals, and Asian Options
Quantum Physics
2010-11-05 v2 Pricing of Securities
Abstract
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 both discrete and continuum spectrum of the Morse potential, and explicitly prove the completeness relation. As an application we use our spectral decomposition formula to study the problem of the pricing of an Asian option traded in financial markets.
Cite
@article{arxiv.1010.3820,
title = {Morse Potential, Contour Integrals, and Asian Options},
author = {Peng Zhang},
journal= {arXiv preprint arXiv:1010.3820},
year = {2010}
}
Comments
13 pages, 1 figure