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| | CEF 1997: Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions (Site not responding. Last check: 2007-10-21) |
 | | In this paper we review the path integral techniques (Dash 1988, Eydeland 1994, Chiarella and El-Hassan 1996), traditionally applied in statistical physics, and the applicability of such techniques to problems in mathematical finance. |
 | | In particular, we evaluate equity options, both European and American, in a path integral framework by employing expansions in Fourier-Hermite series, We also apply the path integral technique to evaluating bond options under various term structure models. |
 | | The computational efficiency, convergence rate and errors of the Fourier-Hermite series expansions on the path integral formulation are analyzed. |
| bucky.stanford.edu /cef97/abstracts/chiarella3.html (150 words) |
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