摘要翻译:
本文在路径积分形式下分析研究算术平均亚式期权的定价问题。通过Dirac-delta函数的一个技巧,将路径积分的测度定义为势项为指数函数的有效作用泛函。利用Feynman-Kac定理计算了该路径积分。通过求解Bessel函数和Whittaker函数的辅助积分,得到了亚式期权价值的谱展开式。
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英文标题:
《Path Integral and Asian Options》
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作者:
Peng Zhang
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最新提交年份:
2013
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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英文摘要:
In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function. This path integral is evaluated by use of the Feynman-Kac theorem. After working out some auxiliary integrations involving Bessel and Whittaker functions, we arrive at the spectral expansion for the value of Asian options.
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PDF链接:
https://arxiv.org/pdf/1008.4841