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  • 2002  (2)
  • PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems  (1)
  • PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion 05.60.-k Transport processes  (1)
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  • Electronic Resource  (2)
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  • 2002  (2)
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  • 1
    Electronic Resource
    Electronic Resource
    Efficient option pricing with path integral (2002)
    Springer
    The European physical journal 27 (2002), S. 249-255 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e20020147
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Random walks with imperfect trapping in the decoupled-ring approximation (2002)
    Springer
    The European physical journal 28 (2002), S. 441-450 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion 05.60.-k Transport processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We investigate random walks on a lattice with imperfect traps. In one dimension, we perturbatively compute the survival probability by reducing the problem to a particle diffusing on a closed ring containing just one single trap. Numerical simulations reveal this solution, which is exact in the limit of perfect traps, to be remarkably robust with respect to a significant lowering of the trapping probability. We demonstrate that for randomly distributed traps, the long-time asymptotics of our result recovers the known stretched exponential decay. We also study an anisotropic three-dimensional version of our model. We discuss possible applications of some of our findings to the decay of excitons in semiconducting organic polymer materials, and emphasize the crucial influence of the spatial trap distribution on the kinetics.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2002-00247-1
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    Paper (German National Licenses)
    Fulltext
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