Path integral Monte Carlo method for option pricing
From MaRDI portal
Publication:2078655
DOI10.1016/j.physa.2021.126231zbMath1492.91419MaRDI QIDQ2078655
D. D. Vvedensky, Pietro Capuozzo, Emanuele Panella, Tancredi Schettini Gherardini
Publication date: 1 March 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2021.126231
path integral; Markov chain Monte Carlo; Asian options; Metropolis-Hastings; Black-Scholes; non-Gaussian
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
Uses Software