Morse Potential, Contour Integrals, and Asian Options

Peng Zhang

Papers from arXiv.org

Abstract: Completeness of the eigenfunctions of a quantum mechanical system is crucial for its probability interpretation. By using the method of contour integral we give properly normalized eigenfunctions for both discrete and continuum spectrum of the Morse potential, and explicitly prove the completeness relation. As an application we use our spectral decomposition formula to study the problem of the pricing of an Asian option traded in financial markets.

Date: 2010-10, Revised 2010-11
New Economics Papers: this item is included in nep-sea
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