Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 78, Issue 1, 2008, Pages

  Lemmens, D ^a   Wouters, M ^a   Tempere, J ^a,c   Foulon, S ^b  

^a UNIVERSITY OF ANTWERP   (Belgium)

^b KBC GROUP   (Belgium)

^c HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AMERICAN PHYSICAL SOCIETY (APS); ANALYTICAL FORMULAS; CLOSED FORM SOLUTIONS; INTEREST RATE (IR); INTEREST RATE MODELS; MONTE CARLO SIMULATION (MCS); OPTION PRICING; PATH INTEGRAL APPROACH; PATH-INTEGRAL METHODS; PLAIN VANILLA; STOCHASTIC VOLATILITY; STOCHASTIC VOLATILITY MODELS;

INTEGRAL EQUATIONS; MONTE CARLO METHODS; NETWORKS (CIRCUITS); QUANTUM THEORY; STOCHASTIC PROGRAMMING;

STOCHASTIC MODELS;

EID: 47249097036     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.78.016101     Document Type: Article

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