Path integral Monte Carlo method for option pricing

DOI10.1016/j.physa.2021.126231zbMath1492.91419OpenAlexW3178044818MaRDI QIDQ2078655

Pietro Capuozzo, Tancredi Schettini Gherardini, D. D. Vvedensky, Emanuele Panella

Publication date: 1 March 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2021.126231

zbMATH Keywords

path integralMarkov chain Monte CarloAsian optionsMetropolis-HastingsBlack-Scholesnon-Gaussian

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• MersenneTwister
• NMOF

Cites Work

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