A Path Integral Approach to Derivative Security Pricing: II. Numerical Methods

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We discuss two numerical methods, based on a path integral approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo approach, and the Green function deterministic numerical method. Then, we apply the latter to some specific financial problems. In particular, we consider the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.
25 pages, 1 figure, submitted to International Journal of Theoretical and Applied Finance

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Statistical Mechanics, Computational Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/210119

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9901279
 http://arxiv.org/abs/cond-mat/9901279

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arXiv