Query:
faculty: "FEB" and publication year: "2004"
| Authors | M. Decamps, A. DeSchepper, M.J. Goovaerts | | Title | Applications of delta-functions perturbation to the pricing of derivative securities |
| Journal | Physica. A : Statistical Mechanics and its Applications |
| Volume | 342 |
| Year | 2004 |
| Issue | 3-4 |
| Pages | 677-692 |
| ISSN | 03784371 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | In 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. |
| Document type | Article |
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