A path-integral approximation for non-linear diffusions

DOI10.1080/14697688.2019.1646924zbMath1431.91389OpenAlexW2969682570MaRDI QIDQ5215434

Luca Capriotti

Publication date: 10 February 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1646924

zbMATH Keywords

stochastic processespath integralsderivative pricingmaximum-likelihood estimationzero-coupon bondsBlack-Karasinski modelArrow-Debreu pricing

Mathematics Subject Classification ID

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

Cites Work

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• The path integral approach to financial modeling and options pricing
• APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL
• AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• Approximate Formulas for Zero‐coupon Bonds
• Wiener and integration in function spaces
• An equilibrium characterization of the term structure
• Space-Time Approach to Non-Relativistic Quantum Mechanics

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