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Business and Economics 1 Economic Theory 1 Economics / Management Science 1 Operation Research/Decision Theory 1 Science 1 Social Sciences 1 Statistics and Numeric Data 1 financial Derivatives 1 options Pricing 1 path Integrals 1 stochastic Models 1
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Linetsky, Vadim 1
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The Path Integral Approach to Financial Modeling and Options Pricing
Linetsky, Vadim - 1997
path integrals (Feynman–Kac formula). The path integral representation of transition probability density (Green's function …) explicitly satisfies the diffusion PDE. Gaussian path integrals admit a closed-form solution given by the Van Vleck formula …. Analytical approximations are obtained by means of the semiclassical (moments) expansion. Difficult path integrals are computed …
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