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In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral...
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...