搜索结果: 16-19 共查到“经济学 the path”相关记录19条 . 查询时间(0.85 秒)
Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
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...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2009/5/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American...
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
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...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2010/12/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American ...