✦ LIBER ✦

Efficient option pricing with path integral

✍ Scribed by Montagna, G.; Nicrosini, O.

Book ID: 114995005
Publisher: Springer
Year: 2002
Tongue: English
Weight: 229 KB
Volume: 27
Category: Article
ISSN: 1434-6036
DOI: 10.1140/epjb/e20020147

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The Path Integral Approach to Financial

The Path Integral Approach to Financial Modeling and Options Pricing

✍ Vadim Linetsky 📂 Article 📅 1997 🏛 Springer US 🌐 English ⚖ 242 KB

An efficient method for option pricing w

An efficient method for option pricing with discrete dividend payment

✍ Cristina Ballester; Rafael Company; Lucas Jódar 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 520 KB

Efficient quasi-Monte simulations for pr

Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options

✍ Sabino, Piergiacomo 📂 Article 📅 2009 🏛 Springer ⚖ 201 KB

An efficient algorithm for Bermudan barr

An efficient algorithm for Bermudan barrier option pricing

✍ Deng Ding; Ning-ying Huang; Jing-ya Zhao 📂 Article 📅 2012 🏛 SP Editorial Committee of Applied Mathematics - A 🌐 English ⚖ 191 KB

Option valuation with co-integrated asse

Option valuation with co-integrated asset prices

✍ Jin-Chuan Duan; Stanley R. Pliska 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 403 KB

This paper investigates theoretical and practical aspects of options that are based upon two or more assets which are co-integrated. For this purpose, a new, discrete-time model of asset prices is developed, a model featuring both the co-integration property as well as stochastic volatilities. Using

Option Pricing with Heterogeneous Expect

Option Pricing with Heterogeneous Expectations

✍ Chen Guo 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 594 KB