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Zoekresultaten

Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2004"

AuteursM. Decamps, A. DeSchepper, M.J. Goovaerts
TitelApplications of delta-functions perturbation to the pricing of derivative securities
TijdschriftPhysica. A : Statistical Mechanics and its Applications
Jaargang342
Jaar2004
Nummer3-4
Pagina's677-692
ISSN03784371
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
SamenvattingIn the recent econophysics literature, the use of functional integrals is widespread for the calculation of option prices. In this paper, we extend this approach in several directions by means of -function perturbations. First, we show that results about infinitely repulsive -function are applicable to the pricing of barrier options. We also introduce functional integrals over skew paths that give rise to a new European option formula when combined with -function potential. We propose accurate closed-form approximations based on the theory of comonotonic risks in case the functional integrals are not analytically computable.
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