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A Path Integral Approach to Derivative Security Pricing: II. Numerical Methods

Marco Rosa-Clot·Stefano Taddei
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Abstract

We discuss two numerical methods, based on a path integral approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo approach, and the Green function deterministic numerical method. Then, we apply the latter to some specific financial problems. In particular, we consider the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.

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Marco Rosa-Clot, Stefano Taddei. 1999-01-26. A Path Integral Approach to Derivative Security Pricing: II. Numerical Methods. https://arxiv.org/abs/cond-mat/9901279

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