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Pricing Derivatives by Path Integral and Neural Networks | | G. Montagna
; M. Morelli
; O. Nicrosini
; P. Amato
; M. Farina
; | | Date: |
13 Nov 2002 | | Subject: | Statistical Mechanics; Disordered Systems and Neural Networks | cond-mat.stat-mech cond-mat.dis-nn | | Abstract: | Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural network parameterization of option prices. The accuracy of the two methods is established from comparisons with the results of the standard procedures used in quantitative finance. | | Source: | arXiv, cond-mat/0211260 | | Services: | Forum | Review | PDF | Favorites | |
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