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Development of an efficient computational algorithm to price financial derivatives according to the path integral approach to stochastic processes.

A path integral way to option pricing

MONTAGNA, GUIDO;
2002-01-01

Abstract

Development of an efficient computational algorithm to price financial derivatives according to the path integral approach to stochastic processes.
2002
The Physics category includes resources of a broad, general nature that contain materials from all areas of physics, The category also includes resources specifically concerned with the following physics sub-fields: mathematical physics, particle and nuclear physics, physics of fluids and plasmas, quantum physics, and theoretical physics.
PHYSICA. A
sì
WOS:000176482900013
Sì, ma tipo non specificato
Inglese
Internazionale
STAMPA
310
450
466
17
Tematica Ex SIR: Fisica teorica delle particelle elementari ed econofisica (Classif. Ex SIR:Articoli su riviste ISI )
Stochastic processes; Path integral; Option pricing; Black and Scholes
http://www.sciencedirect.com/science/article/pii/S0378437102007963
3
info:eu-repo/semantics/article
262
Montagna, Guido; Nicrosini, Oreste; Moreni, Nicola
1 Contributo su Rivista::1.1 Articolo in rivista
none
1.1 Articolo in rivista
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/10930
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