A path integral way to option pricing

DOI10.1016/S0378-4371(02)00796-3zbMath0995.91015arXivcond-mat/0202143OpenAlexW3099189328MaRDI QIDQ1600260

Guido Montagna, Oreste Nicrosini, Nicola Moreni

Publication date: 12 June 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0202143

zbMATH Keywords

computational algorithmpricing financial derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Pricing derivatives by path integral and neural networks ⋮ A path integral based model for stocks and order dynamics ⋮ A model for stocks dynamics based on a non-Gaussian path integral ⋮ Path integration for real options ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ Path integral pricing of outside barrier Asian options ⋮ Pricing exotic options in a path integral approach ⋮ Quantum credit loans ⋮ Path integral Monte Carlo method for option pricing ⋮ THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES ⋮ Multiplicative noise, fast convolution and pricing

Uses Software

• NAG
• nag

Cites Work

• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Introduction to Econophysics
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A path integral way to option pricing