摘要翻译：
利用路径积分公式，导出了平均价格和平均罢工几何亚式期权价格的闭式解。我们的结果与数值蒙特卡罗模拟进行了比较。本文还提出了一个在控制过程中带有障碍的亚式期权的定价公式，该公式将图像方法与根据路径的平均数划分路径集相结合。当相关性为零时，这个公式是精确的，当相关性增加时，这个公式是近似的。
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英文标题：
《Path integral approach to Asian options in the Black-Scholes model》
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作者：
Jeroen P.A. Devreese, Damiaan Lemmens, Jacques Tempere
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最新提交年份：
2011
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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：
  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 numerical Monte Carlo simulation. We also develop a pricing formula for an Asian option with a barrier on a control process, combining the method of images with a partitioning of the set of paths according to the average along the path. This formula is exact when the correlation is zero, and is approximate when the correlation increases.
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PDF链接：
https://arxiv.org/pdf/0906.4456