We devised a method for pricing path dependent derivatives whose theory is new. It is based on a time and value discretization of the interest rate process, in conjunction with prices of Arrow-Debreu securities with unitary lifetime obtained via the Feymann-Kac formula. Such theoretical framework boils down immediately to allowing parallel computing, a quality that is not present in standard methods exploiting PDEs. It operates with a broad range of diffusions and quite general payoffs. Actually, the unique version of the method equally applies to stock and fixed income markets. An exercise is performed through pricing an Asian interest rate option. We purposely kept focus in the interest rate scenario since they are typically associated to the range of low volatilities where the existing numerical methods fail.