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The Path Integral Approach to Financial Modeling and Options Pricing · Study

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ArticleThe Path Integral Approach to Financial Modeling and Options Pricing

Vadim Linetsky1997

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Articlegreen1997

The Path Integral Approach to Financial Modeling and Options Pricing

108 citations·0/0 files stored·Computational Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1976The arbitrage theory of capital asset pricing 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1979Martingales and arbitrage in multiperiod securities markets 1976The valuation of options for alternative stochastic processes

Cited by

2016GPU computing for accelerating the numerical Path Integration approach 1999Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions 2003Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations 2006Pricing exotic options in a path integral approach 2018Local averaged path integration method approach for nonlinear dynamic systems

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Year1997

Typearticle

Published1997-04-01

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations108

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1008658226761

openalex_workW1540131366

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