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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.
Year of publication:
2002-11
Authors: Montagna, G. ; Morelli, M. ; Nicrosini, O. ; Amato, P. ; Farina, M.
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005099048
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