Path Dependent Option Pricing: the path integral partial averaging method
统计力学
2016-08-31 v1 计算物理
证券定价
摘要
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying risk-neutral diffusion process. This result greatly eases the computational burden placed on the subsequent numerical evaluation. For short-medium term options it leads to a general approximation formula that only requires the evaluation of a one dimensional integral. I illustrate the application of the method to Asian options and occupation time derivatives.
引用
@article{arxiv.cond-mat/0005319,
title = {Path Dependent Option Pricing: the path integral partial averaging method},
author = {Andrew Matacz},
journal= {arXiv preprint arXiv:cond-mat/0005319},
year = {2016}
}
备注
22 pages, no figures