Path integral pricing of Asian options on state-dependent volatility models

DOI10.1080/14697680701282186zbMath1135.91014OpenAlexW2012772268MaRDI QIDQ3498562

R. N. Makarov, Giuseppe Campolieti

Publication date: 15 May 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701282186

zbMATH Keywords

Asian optionspath integral pricingstate-dependent volatility models

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing Asian options via compound gamma and orthogonal polynomials ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS ⋮ Exact simulation of Bessel diffusions ⋮ PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS

Cites Work

• The path integral approach to financial modeling and options pricing
• Monte Carlo methods for security pricing
• Simulating bessel random variables
• A study of 128-bit multipliers for congruential pseudorandom number generators
• A Theory of the Term Structure of Interest Rates
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• On the Bessel distribution and related problems

This page was built for publication: Path integral pricing of Asian options on state-dependent volatility models