A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
نویسندگان
چکیده
منابع مشابه
A Path Integral Approach to Derivative Security Pricing: II. Numerical Methods
We discuss two numerical methods, based on a path integral approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo approach, and the Green function deterministic numerical method. Then, we apply the latter to some specific financial problems. In particular, we consider the pricing of a European option, a zero-coupon bond...
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Numerical methods are needed for derivatives pricing in cases where analytic solutions are either unavailable or not easily computable. Examples of the former case include American-style options and most discretely observed path-dependent options. Examples of the latter type include the analytic formula for valuing continuously observed Asian options in [28], which is very hard to calculate for...
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We present a quantum-classical methodology for propagating the density matrix of a system coupled to a polyatomic (large molecular or solvent) environment. The system is treated via a full path integral, while the dynamics of the environment is approximated in terms of classical trajectories. We obtain quantum-classical path integral (QCPI) expressions in which the trajectories can undergo tran...
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Abstract. In this paper we review some applications of the path integral methodology of quantum mechanics to financial modeling and options pricing. A path integral is defined as a limit of the sequence of finite-dimensional integrals, in a much the same way as the Riemannian integral is defined as a limit of the sequence of finite sums. The risk-neutral valuation formula for path-dependent opt...
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Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Les idées et les opinions émises sont sous l'unique responsabilité des auteurs, et ne représentent pas nécessairement les positions du CIRANO ou de ses partenaires. This paper presents preliminary research carried out at...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2002
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024902001377