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ArticleA path integral way to option pricing

Nicola Moreni2002

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Articlegreen2002

A path integral way to option pricing

33 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical functions and polynomials

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1987The Pricing of Options on Assets with Stochastic Volatilities 1996Turbulence and financial markets 1997A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results 1999A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS 2001Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

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2004Applications of δ-function perturbation to the pricing of derivative securities 2006Pricing exotic options in a path integral approach 2009Path integral approach to Asian options in the Black–Scholes model

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2014A Path Integral Way to Option Pricingarticle · 7 shared references 2012Dynamic option hedging via stochastic model predictive control based on scenario simulationarticle · 4 shared references 2008Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate modelsarticle · 4 shared references 2004Arbitrage Theory in Continuous Timebook · 3 shared references 1992Stock market volatility and the information content of stock index optionsarticle · 3 shared references 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Modelarticle · 3 shared references

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Year2002

Typearticle

Published2002-07-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0378-4371(02)00796-3

openalex_workW1978475990

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