Pricing Derivatives by Path Integral and Neural Networks

نویسندگان

  • Guido Montagna
  • Marco Morelli
  • Paolo Amato
  • Marco Farina
چکیده

Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural network parameterization of option prices. The accuracy of the two methods is established from comparisons with the results of the standard procedures used in quantitative finance.

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تاریخ انتشار 2002