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NAG製品を使用した研究に関する各論文の概要

Keyword: American option, option pricing, path integral

論文タイトル A path integral way to option pricing
出版情報 Physica. A, Statistical mechanics and its applications / European Physical Society, Volume 310, Issues 3-4, 15 July 2002
著者 Guido Montagna, Oreste Nicrosini, Nicola Moreni
概要(abstract) "An efficient computational algorithm to price financial derivatives is presented. It is based on apathintegral formulation of the pricing problem. It is shown how the pathintegral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features. As examples, the application of the method to European and American options in the Black-Scholes model is illustrated. A particularly simple and fast semi-analytical approximation for the price of American options is derived. The results of the algorithm are compared with those obtained with the standard procedures known in the literature and found to be in good agreement."
使用されているNAG製品 三重対角行列の対角化を実現する際に NAG Fortran Library のルーチン F02FAF が使用されている。一次元の積分は適合型積分ルーチン D01EAF とクロスチェックされている。また Greeks の計算にルーチン D04AAF が使用されている。

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