In this paper, using path integral techniques, we derive a formula for a propagator arising in the study of occupation time derivatives. Using this result we derive a fair price for the case of the cumulative Parisian option. After confirming the validity of the derived result using Monte Carlo...

Using the path-integral framework to cast the pricing problem of the outside barrier Asian option into a Wiener functional integral form, we show that, after the introduction of a law-equivalent process and transformation of the new system, the deviation from the Monte Carlo price is seen to be...