Path integral and asset pricing
نویسندگان
چکیده
منابع مشابه
Path Dependent Option Pricing: the path integral partial averaging method
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying risk-neutral diffusion process. This result greatly eases the computational burden placed on the subsequent numerical evaluation. For short-medium t...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2015
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2015.1052092