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Evaluation Of American option prices in a path integral framework using Fourier-Hermite series expansions

Chiarella Carl; El-Hassan Nadima; Kucera Adam (Elsevier Science Bv, 1999)

In this paper we review the path integral technique which has wide applications in statistical physics and relate it to the backward recursion technique which is widely used for the evaluation of derivative securities. We ...
The evaluation of discrete barrier options in a path integral framework

Chiarella Carl; El-Hassan Nadima; Kucera Adam (Springer, 2008)

The pricing of discretely monitored barrier options is a difficult problem. In general, there is no known closed form solution for pricing such options. A path integral approach to the evaluation of barrier options is ...

Now showing items 1-2 of 2