Article2002

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

23 citations0/0 files storedInternational Journal of Theoretical and Applied Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Numerical methods for differential equations

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.

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1973The Pricing of Options and Corporate Liabilities 1977An equilibrium characterization of the term structure 1990Options, Futures, and Other Derivative Securities.1994Option pricing: Mathematical models and computation 1988Introduction to stochastic differential equations 1999A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS 2000High-resolution path-integral development of financial options 1999Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions

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1999High-Resolution Path-Integral Development of Financial Options 2003Pricing derivatives by path integral and neural networks

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