most citedA path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

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q-fin.PR2008★ 25 cited

A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

D. Lemmens, M. Wouters, J. Tempere +1

We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain v…