Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Path Dependent Option Pricing: the path integral partial averaging
  method   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 dimensional integral. I illustrate the
application of the method to Asian options and occupation time derivatives.

28
The categories of this paper are: alg-geom
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The categories of this paper are: q-alg
33
The categories of this paper are: plasm-ph
14
The categories of this paper are: math-ph
34
The categories of this paper are: chem-ph
21
The categories of this paper are: adap-org
2
The categories of this paper are: math
7
The categories of this paper are: hep-th
9
The categories of this paper are: nlin
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The categories of this paper are: supr-con
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The categories of this paper are: hep-lat
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The categories of this paper are: comp-gas
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The categories of this paper are: gr-qc
10
The categories of this paper are: q-bio
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The categories of this paper are: cmp-lg
24
The categories of this paper are: dg-ga