Evaluation Of American option prices in a path integral framework using Fourier-Hermite series expansions

Publisher:
Elsevier Science Bv
Publication Type:
Journal Article
Citation:
Journal Of Economic Dynamics & Control, 1999, 23 (9-10), pp. 1387 - 1424
Issue Date:
1999-01
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In this paper we review the path integral technique which has wide applications in statistical physics and relate it to the backward recursion technique which is widely used for the evaluation of derivative securities. We formulate the pricing of equity
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