In this paper we analytically study the pricing of the 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 whose potential term is an exponential function, i.e. the
Liouville Hamiltonian, which can be explicitly solved. After working out some
auxiliary integrations involving Bessel and Whittaker functions, we arrive at
the spectral expansion expression of the value of an Asian option.