A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS-Reference-Cited by-同舟云学术

A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS

Published:2002-03 Issue:02 Volume:05 Page:123-146
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

ROSA-CLOT MARCO¹,TADDEI STEFANO¹

Affiliation:

1. Dipartimento di Fisica, Università degli Studi di Firenze, via G. Sansone 1, 50019 Sesto Fiorentino(FI), Italy

Abstract

We discuss two numerical techniques, based on the path integral approach described in a previous paper, for solving the stochastic equations underlying the financial markets: the path integral Monte Carlo, and the path integral deterministic evaluation. In particular, we apply the latter to some specific financial problems: the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024902001377

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