THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES

DOI10.1142/S0219024906003925zbMath1140.91380arXivphysics/0602107MaRDI QIDQ3421830

Luca Capriotti

Publication date: 8 February 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0602107

zbMATH Keywords

stochastic processesderivative pricingcomputational financepath integral Monte Carlo

Mathematics Subject Classification ID

Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (6)

AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Closed-form Arrow-Debreu pricing for the Hull-White short rate model ⋮ APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION ⋮ APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL ⋮ A path-integral approximation for non-linear diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The path integral approach to financial modeling and options pricing
• A path integral way to option pricing
• Stochastic calculus for finance. I: The binomial asset pricing model.
• The parabolic differential equations and the associated semigroups of transformation
• A Theory of the Term Structure of Interest Rates
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• An equilibrium characterization of the term structure
• Space-Time Approach to Non-Relativistic Quantum Mechanics
• Pricing exotic options in a path integral approach

This page was built for publication: THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES