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Path integral approach to Asian options in the Black–Scholes model

  • Published:2010-02 Issue:4 Volume:389 Page:780-788
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Devreese J.P.A.,Lemmens D.,Tempere J.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference26 articles.

1. Space-time approach to non-relativistic quantum mechanics;Feynman;Reviews of Modern Physics,1948

2. The average of an analytical funtional;Wiener;Proceedings of the National Academy of Sciences,1921

3. Wiener and integration in function spaces;Kac;American Mathematical Society. Bulletin. New Series,1966

4. Path Integrals in Quantum Mechanics, Statistics, Polymer Physics, and Financial Markets;Kleinert,2009

5. Techniques and Applications of Path Integration;Schulman,1981

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