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Pricing Derivatives by Path Integral and Neural Networks

G. Montagna·M. Morelli·O. Nicrosini·P. Amato·M. Farina
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Abstract

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.

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G. Montagna, M. Morelli, O. Nicrosini, P. Amato, M. Farina. 2002-11-13. Pricing Derivatives by Path Integral and Neural Networks. https://doi.org/10.1016/s0378-4371(02)01907-6

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