Path Integrals and Exotic Options:. Methods and Numerical Results

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price path dependent options on multidimensional and correlated underlying assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the case of Asian call options. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at the money (ATM) and out of the money (OTM) options, path integral exhibits competitive performances.