A path integral way to option pricing

DOI10.1016/S0378-4371(02)00796-3zbMath0995.91015arXivcond-mat/0202143OpenAlexW3099189328MaRDI QIDQ1600260

Guido Montagna, Oreste Nicrosini, Nicola Moreni

Publication date: 12 June 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0202143

zbMATH Keywords

computational algorithmpricing financial derivatives

Mathematics Subject Classification ID

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

Related Items

Pricing derivatives by path integral and neural networks, A path integral based model for stocks and order dynamics, A model for stocks dynamics based on a non-Gaussian path integral, Path integration for real options, Computing the CEV option pricing formula using the semiclassical approximation of path integral, Path integral pricing of outside barrier Asian options, Pricing exotic options in a path integral approach, Quantum credit loans, Path integral Monte Carlo method for option pricing, THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES, Multiplicative noise, fast convolution and pricing

Uses Software

• NAG
• nag

Cites Work

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• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Introduction to Econophysics