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
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
Journal title :
Physica A Statistical Mechanics and its Applications