Devreese, J.P.A.; Lemmens, D.; Tempere, J. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 780-788
We derive a closed-form solution for the price of an average strike as well as an average price 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...