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

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1977An equilibrium characterization of the term structure6,104 cited
1990Options, Futures, and Other Derivative Securities.1,227 cited
1994Option pricing: Mathematical models and computation805 cited
1988Introduction to stochastic differential equations724 cited
1999A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS54 cited
2000High-resolution path-integral development of financial options46 cited
1999Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions36 cited
1994A fast algorithm for computing integrals in function spaces: Financial applications32 cited

Cited by

1999High-Resolution Path-Integral Development of Financial Options21 cited
2003Pricing derivatives by path integral and neural networks20 cited

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