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Path dependent option pricing: the path integral partial averaging method
 Journal of Computational Finance
, 2002
"... In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying riskneutral diffusion process. This result greatly ..."
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In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying riskneutral diffusion process. This result greatly eases the computational burden placed on the subsequent numerical evaluation. For shortmedium term options it leads to a general approximation formula that only requires the evaluation of a one dimensional integral. I illustrate the application of the method to Asian options and occupation time derivatives.
Quantum Field Theory of Forward Rates with Stochastic Volatility
 Physical Review E
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unknown title
, 1999
"... Stochastic relaxational dynamics applied to finance: towards nonequilibrium option pricing theory ..."
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Stochastic relaxational dynamics applied to finance: towards nonequilibrium option pricing theory
Review of quantum path integrals in fluctuating markets
"... We review various techniques from engineering and physics applied to the theory of financial risks. We also explore at an introductory level how the quantum aspects of physics may be used to study the dynamics of financial markets. In particular we explore how the path integral methods may be used t ..."
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We review various techniques from engineering and physics applied to the theory of financial risks. We also explore at an introductory level how the quantum aspects of physics may be used to study the dynamics of financial markets. In particular we explore how the path integral methods may be used to study financial markets quantitatively.
Path integrals in fluctuating markets
"... In this short note we propose an approach for calculating option prices in financial markets in the framework of path integrals. We review various techniques from engineering and physics applied to the theory of financial risks. We explore how the path integral methods may be used to study financial ..."
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In this short note we propose an approach for calculating option prices in financial markets in the framework of path integrals. We review various techniques from engineering and physics applied to the theory of financial risks. We explore how the path integral methods may be used to study financial markets quantitatively and we also suggest a method in calculating transition probabilities for option pricing using real data in that framework.