IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v15y2015i11p1759-1771.html
   My bibliography  Save this article

Path integral and asset pricing

Author

Listed:
  • Zura Kakushadze

Abstract

No abstract is available for this item.

Suggested Citation

  • Zura Kakushadze, 2015. "Path integral and asset pricing," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1759-1771, November.
    • Handle: RePEc:taf:quantf:v:15:y:2015:i:11:p:1759-1771
    DOI: 10.1080/14697688.2015.1052092
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2015.1052092
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2015.1052092?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Devreese, J.P.A. & Lemmens, D. & Tempere, J., 2010. "Path integral approach to Asian options in the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 780-788.
    2. Kleinert, Hagen, 2002. "Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 217-242.
    3. Ingber, Lester, 2000. "High-resolution path-integral development of financial options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
    4. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    5. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    6. repec:bla:jfinan:v:53:y:1998:i:3:p:1165-1190 is not listed on IDEAS
    7. G. Bormetti & G. Montagna & N. Moreni & O. Nicrosini, 2006. "Pricing exotic options in a path integral approach," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 55-66.
    8. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    9. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2006. "A path integral approach to asset-liability management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 404-416.
    10. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
    11. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    12. Montagna, Guido & Nicrosini, Oreste & Moreni, Nicola, 2002. "A path integral way to option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 310(3), pages 450-466.
    13. G. Montagna & O. Nicrosini & N. Moreni, 2002. "A Path Integral Way to Option Pricing," Papers cond-mat/0202143, arXiv.org.
    14. Montagna, Guido & Morelli, Marco & Nicrosini, Oreste & Amato, Paolo & Farina, Marco, 2003. "Pricing derivatives by path integral and neural networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 189-195.
    15. Ling Zhi Liang & Damiaan Lemmens & Jacques Tempere, 2011. "Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation," Papers 1101.3713, arXiv.org.
    16. L. F. Blazhyevskyi & V. S. Yanishevsky, 2011. "The path integral representation kernel of evolution operator in Merton-Garman model," Papers 1106.5143, arXiv.org.
    17. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    18. D. Lemmens & M. Wouters & J. Tempere & S. Foulon, 2008. "A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models," Papers 0806.0932, arXiv.org.
    19. G. Bormetti & G. Montagna & N. Moreni & O. Nicrosini, 2004. "Pricing Exotic Options in a Path Integral Approach," Papers cond-mat/0407321, arXiv.org, revised May 2006.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Capuozzo, Pietro & Panella, Emanuele & Schettini Gherardini, Tancredi & Vvedensky, Dimitri D., 2021. "Path integral Monte Carlo method for option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
    2. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
    3. Kakushadze, Zura, 2017. "Volatility smile as relativistic effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 475(C), pages 59-76.
    4. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
    5. Bueno-Guerrero, Alberto, 2022. "A Quantum Mechanics for interest rate derivatives markets," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    6. Zura Kakushadze, 2016. "On Origins of Bubbles," Papers 1610.03769, arXiv.org, revised Jul 2017.
    7. A. Jakovac, 2020. "Finance from the viewpoint of physics," Papers 2001.09446, arXiv.org, revised Jan 2020.
    8. Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zura Kakushadze, 2014. "Path Integral and Asset Pricing," Papers 1410.1611, arXiv.org, revised Aug 2016.
    2. DECAMPS, Marc & DE SCHEPPER, Ann & GOOVAERTS, Marc, "undated". "Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries," Working Papers 2003027, University of Antwerp, Faculty of Business and Economics.
    3. Giovanni Paolinelli & Gianni Arioli, 2018. "A path integral based model for stocks and order dynamics," Papers 1803.07904, arXiv.org.
    4. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
    5. Paolinelli, Giovanni & Arioli, Gianni, 2019. "A model for stocks dynamics based on a non-Gaussian path integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 499-514.
    6. Paolinelli, Giovanni & Arioli, Gianni, 2018. "A path integral based model for stocks and order dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 387-399.
    7. Giovanni Paolinelli & Gianni Arioli, 2018. "A model for stocks dynamics based on a non-Gaussian path integral," Papers 1809.01342, arXiv.org, revised Oct 2018.
    8. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    9. Frank De Jong & Joost Driessen & Antoon Pelsser, 2001. "Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis," Review of Finance, European Finance Association, vol. 5(3), pages 201-237.
    10. Devreese, J.P.A. & Lemmens, D. & Tempere, J., 2010. "Path integral approach to Asian options in the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 780-788.
    11. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    12. repec:uts:finphd:40 is not listed on IDEAS
    13. Constantin Mellios, 2007. "Interest rate options valuation under incomplete information," Annals of Operations Research, Springer, vol. 151(1), pages 99-117, April.
    14. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
    15. Oldrich Alfons Vasicek & Francisco Venegas-Martínez, 2021. "Models of the Term Structure of Interest Rates: Review, Trends, and Perspectives," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-28, Abril - J.
    16. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
    17. Lin, Shih-Kuei & Wang, Shin-Yun & Chen, Carl R. & Xu, Lian-Wen, 2017. "Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 359-373.
    18. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    19. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August.
    20. David Bolder, 2001. "Affine Term-Structure Models: Theory and Implementation," Staff Working Papers 01-15, Bank of Canada.
    21. repec:wyi:journl:002108 is not listed on IDEAS
    22. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2006. "A path integral approach to asset-liability management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 404-416.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:15:y:2015:i:11:p:1759-1771. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.