Pricing exotic options in a path integral approach

DOI10.1080/14697680500510878zbMath1132.91010arXivcond-mat/0407321OpenAlexW2030982502MaRDI QIDQ5475311

Nicola Moreni, Guido Montagna, Oreste Nicrosini, Giacomo Bormetti

Publication date: 16 June 2006

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0407321

Mathematics Subject Classification ID

Related Items (10)

An accurate European option pricing model under fractional stable process based on Feynman path integral ⋮ A path integral based model for stocks and order dynamics ⋮ A model for stocks dynamics based on a non-Gaussian path integral ⋮ A backward Monte Carlo approach to exotic option pricing ⋮ Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ Option pricing, stochastic volatility, singular dynamics and constrained path integrals ⋮ Path integral pricing of wasabi option in the Black-Scholes model ⋮ THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES ⋮ Multiplicative noise, fast convolution and pricing

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