A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS

Marco Rosa-Clot and Stefano Taddei ()
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Marco Rosa-Clot: Dipartimento di Fisica, Università degli Studi di Firenze, via G. Sansone 1, 50019 Sesto Fiorentino(FI), Italy
Stefano Taddei: Dipartimento di Fisica, Università degli Studi di Firenze, via G. Sansone 1, 50019 Sesto Fiorentino(FI), Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2002, vol. 05, issue 02, 123-146

Abstract: We discuss two numerical techniques, based on the path integral approach described in a previous paper, for solving the stochastic equations underlying the financial markets: the path integral Monte Carlo, and the path integral deterministic evaluation. In particular, we apply the latter to some specific financial problems: the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.

Keywords: Derivative pricing; path integrals; numerical methods (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0219024902001377

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