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Book Review:Quantum Finance, Path Integrals and Hamiltonians for Options and Interest Rates

โœ Scribed by Jaume Masoliver


Book ID
106430731
Publisher
Springer
Year
2005
Tongue
English
Weight
36 KB
Volume
120
Category
Article
ISSN
0022-4715

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๐Ÿ“œ SIMILAR VOLUMES


Pricing American options for interest ra
โœ Belal E. Baaquie; Cui Liang ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 456 KB

American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The a