25 citations · 42 across the 8 of their papers we have counts for
3 papers · 1 filter
Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation
Ling Zhi Liang, Damiaan Lemmens, Jacques Tempere
In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic vol…
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…
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…