25 citations · 33 across the 2 of their papers we have counts for
2 papers
q-fin.PR2010★ 8 cited
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
L. Z. J. Liang, D. Lemmens, J. Tempere
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently…
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…