  In this paper we analytically study the problem of pricing an arithmetically
averaged Asian option in the path integral formalism. By a trick about the
Dirac delta function, the measure of the path integral is defined by an
effective action functional whose potential term is an exponential function.
This path integral is evaluated by use of the Feynman-Kac theorem. After
working out some auxiliary integrations involving Bessel and Whittaker
functions, we arrive at the spectral expansion for the value of Asian options.
