  We present a new approach for the pricing of interest rate derivatives which
allows a direct computation of option premiums without deriving a
(Black-Scholes type) partial differential equation and without explicitly
solving the stochastic process for the underlying variable. The approach is
tested by rederiving the prices of a zero bond and a zero bond option for a
short rate environment which is governed by Vasicek dynamics. Furthermore, a
generalization of the method to general short rate models is outlined. In the
case, where analytical solutions are not accessible, numerical implementations
of the path integral method in terms of lattice calculations as well as path
integral Monte Carlo simulations are possible.
