Path integration for real options

DOI10.1016/j.amc.2015.04.111zbMath1410.91449OpenAlexW251314897MaRDI QIDQ1664189

Christian E. Schaerer, Gerardo Blanco, Sebastián Alberto Grillo

Publication date: 24 August 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.04.111

zbMATH Keywords

Markov processpath integrationAmerican optionEuropean optionreal optioncontinuous state

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A path integral way to option pricing
• Risk-neutral valuation. Pricing and hedging of financial derivatives.
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Option pricing: A simplified approach
• Stochastic differential equations. An introduction with applications.

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