A Path Integral Approach to Derivative Security Pricing: I. Formalism and Analytical Results

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dc.creatorRosa-Clot, Marco
dc.creatorTaddei, Stefano
dc.date1999-01-26
dc.date.accessioned2026-07-07T12:11:05Z
dc.date.available2026-07-07T12:11:05Z
dc.descriptionWe use a path integral approach for solving the stochastic equations underlying the financial markets, and we show the equivalence between the path integral and the usual SDE and PDE methods. We analyze both the one-dimensional and the multi-dimensional cases, with point dependent drift and volatility, and describe a covariant formulation which allows general changes of variables. Finally we apply the method to some economic models with analytical solutions. In particular, we evaluate the expectation value of functionals which correspond to quantities of financial interest.
dc.description20 pages, no figures, to be published in International Journal of Theoretical and Applied Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/9901277
dc.identifierhttp://arxiv.org/abs/cond-mat/9901277
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210118
dc.subjectStatistical Mechanics
dc.subjectComputational Finance
dc.titleA Path Integral Approach to Derivative Security Pricing: I. Formalism and Analytical Results
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