A Path Integral Approach to Derivative Security Pricing: II. Numerical Methods
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- Paolinelli, Giovanni & Arioli, Gianni, 2019. "A model for stocks dynamics based on a non-Gaussian path integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 499-514.
- Zura Kakushadze, 2014. "Path Integral and Asset Pricing," Papers 1410.1611, arXiv.org, revised Aug 2016.
- Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
- Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo, 2017.
"Dynamic optimization and its relation to classical and quantum constrained systems,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 12-25.
- Mauricio Contreras & Rely Pellicer & Marcelo Villena, 2016. "Dynamic optimization and its relation to classical and quantum constrained systems," Papers 1607.01317, arXiv.org.
- Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
- Giovanni Paolinelli & Gianni Arioli, 2018. "A model for stocks dynamics based on a non-Gaussian path integral," Papers 1809.01342, arXiv.org, revised Oct 2018.
- Paolinelli, Giovanni & Arioli, Gianni, 2018. "A path integral based model for stocks and order dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 387-399.
- Ingber, Lester, 2000.
"High-resolution path-integral development of financial options,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
- L. Ingber, 2000. "High-resolution path-integral development of financial options," Lester Ingber Papers 00hr, Lester Ingber.
- Lester Ingber, 2000. "High-resolution path-integral development of financial options," Papers physics/0001048, arXiv.org.
- Montagna, Guido & Nicrosini, Oreste & Moreni, Nicola, 2002. "A path integral way to option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 310(3), pages 450-466.
- G., Mauricio Contreras & Peña, Juan Pablo, 2019. "The quantum dark side of the optimal control theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 450-473.
- Moore, Ryleigh A. & Narayan, Akil, 2022. "Adaptive density tracking by quadrature for stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 431(C).
- Igor Halperin, 2021. "Distributional Offline Continuous-Time Reinforcement Learning with Neural Physics-Informed PDEs (SciPhy RL for DOCTR-L)," Papers 2104.01040, arXiv.org.
- Yu. A. Kuperin & P. A. Poloskov, 2010. "American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations," Papers 1009.5495, arXiv.org.
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