# Path Dependent Option Pricing: The Path Integral Partial Averaging Method

@article{Matacz1999PathDO, title={Path Dependent Option Pricing: The Path Integral Partial Averaging Method}, author={Andrew Matacz}, journal={Derivatives eJournal}, year={1999} }

In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying risk-neutral diffusion process. This result greatly eases the computational burden placed on the subsequent numerical evaluation. For short-medium term options it leads to a general approximation formula that only requires the evaluation of a one…

## 21 Citations

### Efficient option pricing with path integral

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- 2002

It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features.

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A general formula to price European path-dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms, which exhibits competitive performances when pricing at-the-money and out-of- the-money options.

### Path Integral and Asian Options

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- Computer Science
- 2009

This dissertation is an examination of methods for computing an option price using a path integral framework based on the Black and Scholes paradigm, and a similar approach using normalised Hermite orthogonal polynomials is presented.

### Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions

- Mathematics
- 2004

The pricing of point barrier or discretely monitored barrier options is a difficult problem. In general, there is no known closed form solution for pricing such options. In this paper we develop a…

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