path integral option pricing

/MediaBox [0.0 0.0 510.0 708.48] xڕX�n�6��+��+��̢h��]ę;�^w��/�$;N�$0ƒ(��C��/��ÒS]K]^�-?>-_~��0��A�iŚ�Kti�ey��yu�:�7�0�.�#͠w.��t.��_��9��>��ߖ��N$H�"z �5:0 �T��SR��7��rr��4�¦kH��t/:��q$E�}Ztz�23�m>�$&l�O��k��ƘH��V�)��L��,Wxй Mz��Q�7�&�F��$܉�HaM�K�f�_��7��H!�(��X�%Ir�s��v��X,�a��e��Vf:��C�>��U ��W%fF��Ƙ�b�/D��#^nʭ�L�B�U�A��[F�*��څ� �. /Contents [31 0 R] /Parent 2 0 R In Section 2, we give an overview of the general framework of path-integral options pricing. 9 0 obj /CropBox [0.0 0.0 595.28 841.89] 2 0 obj

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In this paper I develop a new computational method for pricing path dependent options. /CropBox [0.0 0.0 510.0 708.48] /CropBox [0.0 0.0 510.0 708.48] For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). /Parent 2 0 R

/Rotate 0 /Resources 64 0 R /CropBox [0.0 0.0 510.0 708.48] In this paper path integral approach to option pricing is first discussed in its generality and then applied to the problem of stochastic volatility. /OpenAction [3 0 R /Fit] /Type /Page

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The work of GB is partially supported by STMicroelectronics.

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It is based on a path integral formulation of the pricing problem. >> In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. /MediaBox [0.0 0.0 510.0 708.48] /Type /Page

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A general formula to price European path-dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. /MediaBox [0.0 0.0 510.0 708.48]

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/Parent 2 0 R It is based on a path integral formulation of the pricing problem. As examples, the application of the method to European and American options in the Black-Scholes model is illustrated.

<< endobj Using the path integral representation of the option price, I show that in … DOI: 10.1142/9789812704467_0046 Corpus ID: 14095958. /Parent 2 0 R It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features.

>> In particular, when pricing at-the-money and out-of-the-money options, the path integral approach exhibits competitive performances. 23 0 obj

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Phys.

/Rotate 0 Downloadable! If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation. /Parent 2 0 R We acknowledge partial collaboration with Francesca Rossi at the early stage of this work.

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/Rotate 0 path integral [9].

", Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. >> 20 0 obj /Contents [69 0 R]

There have also been some applications of path integrals in the study of option pricing [10, iii.

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Author links open overlay panel Aurelien Cassagnes a Yu Chen a ... G. Montagna, N. Moreni, O. NicrosiniPricing exotic options in a path integral approach. 6, No. /CropBox [0.0 0.0 510.0 708.48] /Parent 2 0 R

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Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance @article{Baaquie2003QuantumMP, title={Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance}, author={B. Baaquie and C. Corian{\`o} and Marakani Srikant}, journal={arXiv: Soft Condensed Matter}, year={2003}, … /CropBox [0.0 0.0 510.0 708.48]

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", Axel A. Araneda & Marcelo J. Villena, 2018.

Development of an efficient computational algorithm to price financial derivatives according to the path integral approach to stochastic processes Topics: Stochastic processes, Path integral, Option pricing, Black and Scholes . An efficient computational algorithm to price financial derivatives is presented.

/Parent 2 0 R << ", Giacomo Bormetti & Sofia Cazzaniga, 2011. We use cookies to improve your website experience.

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endobj /MediaBox [0.0 0.0 510.0 708.48] endobj >> Register to receive personalised research and resources by email, Pricing exotic options in a path integral approach, Dipartimento di Fisica Nucleare e Teorica , Università di Pavia , Via A. Bassi 6, Pavia, 27100, Italy ; Istituto Nazionale di Fisica Nucleare , Sezione di Pavia, Via A. Bassi 6, Pavia, 27100, Italy, Dipartimento di Fisica Nucleare e Teorica , Università di Pavia , Via A. Bassi 6, Pavia, 27100, Italy ; CERMICS - ENPC , 6 et 8 avenue Blaise Pascal, Cité Descartes, Champs sur Marne, 77455, Marne la Vallée, Cedex 2, France, /doi/full/10.1080/14697680500510878?needAccess=true, Medicine, Dentistry, Nursing & Allied Health. /Parent 2 0 R

/CropBox [0.0 0.0 510.0 708.48] >> /CropBox [0.0 0.0 510.0 708.48] endobj It is based on a path integral formulation of the pricing problem. You can help correct errors and omissions. /Rotate 0

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%�� & Yousuf, M., 2007. << /CropBox [0.0 0.0 510.0 708.48] /Rotate 0 Authors: G. Montagna, O. Nicrosini, N. Moreni (Submitted on 8 Feb 2002) Abstract: An efficient computational algorithm to price financial derivatives is presented. /Resources 58 0 R /Contents [61 0 R] Registered in England & Wales No.

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Quantitative Finance: Vol. /CropBox [0.0 0.0 510.0 708.48] A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.

B 27, 249–255 (2002). Immediate online access to all issues from 2019. Finance, 6 (2006), pp.

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An efficient computational algorithm to price financial derivatives is presented.

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PubMed Google Scholar, Montagna, G., Nicrosini, O.

Computing the CEV option pricing formula using the semiclassical approximation of path integral Axel A. Araneda∗ and Marcelo J. Villena†‡ Lastversion: March29,2018 Abstract

In the framework of the Black–Scholes–Merton model of financial derivatives, a path integral approach to option pricing is presented. An analytical perturbative solution to the Merton Garman model using symmetries. /Rotate 0

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endobj /Resources 32 0 R The European Physical Journal B - Condensed Matter and Complex Systems

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By Montagna Guido, Nicrosini Oreste and Moreni Nicola. /Resources 70 0 R

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Title: A Path Integral Way to Option Pricing. /Parent 2 0 R /Creator

17 0 obj PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation, Quantum Variables in Finance and Neuroscience (Presentation Slides), Enhancing the Quantum Linear Systems Algorithm using Richardson Extrapolation, Growing Artificial Societies: Social Science From the Bottom Up, growing artificial societies : social science from the bottom up, A General Theory of Asset Valuation under Diffusion State Processes, Garman, A General theory of Asset Valuation under Diffusion State Processes.

<< Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. /Count 22

THE PATH INTEGRAL APPROACH TO FINANCIAL MODELING AND OPTIONS PRICING 131 integrals and Green’s functions constitute both a natural theoretical concept and a practical computational tool in ﬁnance, especially for path-dependent derivatives.

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Working Paper No 50, View 2 excerpts, cites methods and background, By clicking accept or continuing to use the site, you agree to the terms outlined in our.

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