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

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dc.creatorRosa-Clot, Marco
dc.creatorTaddei, Stefano
dc.date1999-01-26
dc.date.accessioned2026-07-07T12:11:06Z
dc.date.available2026-07-07T12:11:06Z
dc.descriptionWe 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.
dc.description25 pages, 1 figure, submitted to International Journal of Theoretical and Applied Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/9901279
dc.identifierhttp://arxiv.org/abs/cond-mat/9901279
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210119
dc.subjectStatistical Mechanics
dc.subjectComputational Finance
dc.titleA Path Integral Approach to Derivative Security Pricing: II. Numerical Methods
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