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)

Related Items (17)

Multi-asset Black-Scholes model as a variable second class constrained dynamical system ⋮ Dynamic optimization and its relation to classical and quantum constrained systems ⋮ A path integral based model for stocks and order dynamics ⋮ The quantum dark side of the optimal control theory ⋮ A model for stocks dynamics based on a non-Gaussian path integral ⋮ A method for the calculation of characteristics for the solution to stochastic differential equations ⋮ Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS ⋮ Option pricing, stochastic volatility, singular dynamics and constrained path integrals ⋮ Path integral pricing of outside barrier Asian options ⋮ On numerical density approximations of solutions of SDEs with unbounded coefficients ⋮ A path-integral approximation for non-linear diffusions ⋮ Pricing exotic options in a path integral approach ⋮ THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES ⋮ A path integral way to option pricing

Cites Work

• Wigner-like expansion of the short-time propagator and deterministic numerical methods
• A Theory of the Term Structure of Interest Rates
• Wiener and integration in function spaces
• Space-Time Approach to Non-Relativistic Quantum Mechanics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Dynamical Theory in Curved Spaces. I. A Review of the Classical and Quantum Action Principles

This page was built for publication: A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS