A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS

DOI10.1142/S0219024999000200zbMath1153.91464arXivcond-mat/9901277MaRDI QIDQ3523536

S. Taddei, M. Rosa-Clot, Eleonora Bennati

Publication date: 3 September 2008

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

Full work available at URL: https://arxiv.org/abs/cond-mat/9901277

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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