Pricing Derivatives by Path Integral and Neural Networks

Details Pricing Derivatives by Path Integral and Neural Networks Pricing Derivatives by Path Integral and Neural Networks

2002-11-13

arxiv.org/abs/cond-mat/0211260v1

Physics

Condensed Matter

Statistical Mechanics

7 pages, 1 figure, 1 table. Contribution to Proceedings of International Econophysics Conference, Bali, August 28-31, 2002

Scientific paper

10.1016/S0378-4371(02)01907-6

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.

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