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

1999/01/26 by M. Rosa-Clot, Stefano Taddei, Rosa-Clot, Marco +1
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Physical sciences #Mathematical Approximation and Integration #Scientific Research and Discoveries #Statistical Mechanics (cond-mat.stat-mech) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.cond-mat/9901279

openalex publication_date 1999/01/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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