Pricing Derivatives by Path Integral and Neural Networks

G. Montagna, M. Morelli, O. Nicrosini, P. Amato and M. Farina

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Abstract: 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.

Date: 2002-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0211260

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