• Title of article

    Pricing derivatives by path integral and neural networks

  • Author/Authors

    Guido Montagna، نويسنده , , Marco Morelli، نويسنده , , Oreste Nicrosini، نويسنده , , Paolo Amato، نويسنده , , Marco Farina، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2003
  • Pages
    7
  • From page
    189
  • To page
    195
  • 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.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2003
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    868591