Pricing derivatives by path integral and neural networks

Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural network parameterization of option prices. The accuracy of the two methods is established from comparisons with the results of the standard procedures used in quantitative finance.

MoreLess

Year of publication:	2003
Authors:	Montagna, Guido ; Morelli, Marco ; Nicrosini, Oreste ; Amato, Paolo ; Farina, Marco
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 324.2003, 1, p. 189-195
Publisher:	Elsevier
Subject:	Econophysics \| Option pricing \| Path integral \| Neural networks

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010591034