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Morse Potential, Contour Integrals, and Asian Options
Morse Potential Contour Integrals Asian Options
2010/10/22
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 ...
In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral...
Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
2010/11/1
We derive a closed-form solution for the price of an average price as well as an average strike
geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...
We prove existence, regularity and a Feynman-Kaˇc representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian optio...
Law of the exponential functional of one-sided Lévy processes and Asian options
L´ evy processes exponential functional special functions
2010/11/1
The purpose of this note is to describe, in terms of a power series, the distribution function
of the exponential functional, taken at some independent exponential time, of a spectrally negative L&ac...