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Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
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2010/11/1
We derive a closed-form solution for the price of an average price as well as an average strike
geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
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2010/12/20
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...