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Digitale Medien

Efficient option pricing with path integral (2002)

Montagna, G. ; Nicrosini, O.

Springer

The European physical journal 27 (2002), S. 249-255

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ISSN: 1434-6036

Schlagwort(e): PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems

Quelle: Springer Online Journal Archives 1860-2000

Thema: Physik

Notizen: Abstract: An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features. As examples, the application of the method to European and American options in the Black-Scholes model is illustrated. The results of the algorithm are compared with those obtained with the standard procedures known in the literature and found to be in good agreement.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1140/epjb/e20020147

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