Path integral Monte Carlo method for option pricing (Q2078655): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.physa.2021.126231 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3178044818 / rank | |||
Normal rank | |||
Revision as of 01:27, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Path integral Monte Carlo method for option pricing |
scientific article |
Statements
Path integral Monte Carlo method for option pricing (English)
0 references
1 March 2022
0 references
Black-Scholes
0 references
path integral
0 references
Markov chain Monte Carlo
0 references
Metropolis-Hastings
0 references
Asian options
0 references
non-Gaussian
0 references
