THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES

DOI10.1142/S0219024906003925zbMath1140.91380arXivphysics/0602107MaRDI QIDQ3421830

Luca Capriotti

Publication date: 8 February 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0602107

zbMATH Keywords

stochastic processes; derivative pricing; computational finance; path integral Monte Carlo

Mathematics Subject Classification ID

60J60: Diffusion processes

65C30: Numerical solutions to stochastic differential and integral equations

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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