A Path Integral Approach To Derivative Security Pricing Ii: Numerical Methods
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DOI: 10.1142/S0219024902001377
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Cited by:
- Capuozzo, Pietro & Panella, Emanuele & Schettini Gherardini, Tancredi & Vvedensky, Dimitri D., 2021. "Path integral Monte Carlo method for option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
- DECAMPS, Marc & DE SCHEPPER, Ann & GOOVAERTS, Marc, "undated". "Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries," Working Papers 2003027, University of Antwerp, Faculty of Business and Economics.
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Keywords
Derivative pricing; path integrals; numerical methods;All these keywords.
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