In this paper we review some applications of the path integral methodology of quantum
mechanics to financial modeling and options pricing. A path integral is defined as a limit of …

This paper has four goals:(a) relate ladder height distributions to option values;(b) show how
Laguerre expansions may be used in the computation of densities, distribution functions …

This paper presents an efficient methodology for the discrete Asian options consistent with
different types of underlying densities, especially non-normal returns as suggested by the …

Traditional with-profits pension saving schemes have been criticized for their opacity,
plagued by embedded options and guarantees, and have recently created enormous …

This article derives the first analytical pricing formulas for American-style Asian options of the
so-called floating strike type. Geometric as well as arithmetic averaging is considered. The …

Pricing European-style Asian options based on the arithmetic average, under the Black and
Scholes model, involves estimating an integral (a mathematical expectation) for which no …

As increasingly large volumes of sophisticated options are traded in world financial markets,
determining a``fair''price for these options has become an important and difficult …

This book discusses in detail the workings of financial markets and over-the-counter (OTC)
markets, focusing specifically on standard and complex derivatives. The subjects covered …

In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing
formula for forward‐starting Asian options and derive the correct one. First, illustrate in …

We study how the financial literature has evolved in scale, research team composition, and
article topicality across finance‐focused academic journals from 1992 to 2021. We …